Consistently determining the number of factors in multivariate volatility modelling (Q2950203): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set OpenAlex properties. |
||
| (3 intermediate revisions by 2 users not shown) | |||
| Property / author | |||
| Property / author: Wang-li Xu / rank | |||
| Property / author | |||
| Property / author: Wang-li Xu / rank | |||
Normal rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.5705/ss.2013.252 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2323091806 / rank | |||
Normal rank | |||
Latest revision as of 01:52, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Consistently determining the number of factors in multivariate volatility modelling |
scientific article |
Statements
Consistently determining the number of factors in multivariate volatility modelling (English)
0 references
8 October 2015
0 references
BIC-type criterion
0 references
dimension reduction
0 references
eigenanalysis
0 references
factor modelling
0 references
multivariate volatility
0 references
nonstationarity
0 references
ratio estimate
0 references
