Estimating Factor Models for Multivariate Volatilities: An Innovation Expansion Method

DOI10.1007/978-3-7908-2604-3_28zbMath1436.62499OpenAlexW79563884MaRDI QIDQ3298480

Wolfgang Polonik, Jiazhu Pan, Qiwei Yao

Publication date: 14 July 2020

Published in: Proceedings of COMPSTAT'2010 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-7908-2604-3_28

zbMATH Keywords

dimension reductionfactor modelsmultivariate volatility

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• The generalized dynamic factor model consistency and rates
• Modelling multiple time series via common factors
• Determining the Number of Factors in the General Dynamic Factor Model
• Unnamed Item

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