Determining the number of factors in a multivariate error correction-volatility factor model (Q3566437): Difference between revisions
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Latest revision as of 09:41, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Determining the number of factors in a multivariate error correction-volatility factor model |
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Determining the number of factors in a multivariate error correction-volatility factor model (English)
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8 June 2010
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co-integration
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dimension reduction
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error correction
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volatility factor model
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model selection
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penalized goodness-of-fit criteria
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