Consistently determining the number of factors in multivariate volatility modelling
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Publication:2950203
DOI10.5705/ss.2013.252zbMath1415.62067OpenAlexW2323091806MaRDI QIDQ2950203
Qiang Xia, Li Xing Zhu, Wang-li Xu
Publication date: 8 October 2015
Published in: Statistica Sinica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.5705/ss.2013.252
dimension reductionnonstationarityeigenanalysismultivariate volatilityfactor modellingBIC-type criterionratio estimate
Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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