Dynamic factor long memory volatility

DOI10.1080/14697688.2016.1260757MaRDI QIDQ4555133zbMATH OpenOpenAlexFDO

Authors Richard D. F. Harris, Anh T. H. Nguyen

Publication date 19 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1983/5530f442-910e-4408-be45-e1cb97908505

zbMATH Keywords

conditional variance-covariance matrixfactor modelsfinancelong memoryvolatility timing

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Determining the Number of Factors in Approximate Factor Models
• Determining the Number of Factors in the General Dynamic Factor Model
• Distinguishing short and long memory volatility specifications
• Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
• Factor models in high-dimensional time series: A time-domain approach
• Forecasting exchange rate volatility.
• Forecasting Using Principal Components From a Large Number of Predictors
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generalized dynamic factor models and volatilities: estimation and forecasting
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Improved penalization for determining the number of factors in approximate factor models
• Modeling and Forecasting Realized Volatility
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The Generalized Dynamic Factor Model
• The statistical properties of the innovations in multivariate ARCH processes in high dimensions

Cited in

(2)

• Extending the Fama and French model with a long term memory factor
• Global European portfolio construction: Does a changing volatility structure matter?

Describes a project that uses

Uses Software

• RiskMetrics

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