Consistently determining the number of factors in multivariate volatility modelling (Q2950203)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Consistently determining the number of factors in multivariate volatility modelling |
scientific article |
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Consistently determining the number of factors in multivariate volatility modelling (English)
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8 October 2015
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BIC-type criterion
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dimension reduction
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eigenanalysis
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factor modelling
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multivariate volatility
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nonstationarity
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ratio estimate
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