Consistently determining the number of factors in multivariate volatility modelling (Q2950203): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q523776 |
Changed an Item |
||
| Property / author | |||
| Property / author: Wang-li Xu / rank | |||
Normal rank | |||
Revision as of 23:11, 15 February 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
