Factor multivariate stochastic volatility models of high dimension
From MaRDI portal
Cites work
- A well-conditioned estimator for large-dimensional covariance matrices
- Analysis of high dimensional multivariate stochastic volatility models
- Asymptotic theory of the adaptive sparse group Lasso
- Bootstrapping cointegrating regressions
- Determining the Number of Factors in Approximate Factor Models
- Efficient estimation of approximate factor models via penalized maximum likelihood
- Factor modeling for high-dimensional time series: inference for the number of factors
- Factor stochastic volatility with time varying loadings and Markov switching regimes
- Fitting Vast Dimensional Time-Varying Covariance Models
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
- Forecasting Using Principal Components From a Large Number of Predictors
- Generalized dynamic factor models and volatilities: estimation and forecasting
- Graph implementations for nonsmooth convex programs
- High-dimensional covariance matrix estimation in approximate factor models
- High‐dimensional sparse multivariate stochastic volatility models
- scientific article; zbMATH DE number 1964693 (Why is no real title available?)
- scientific article; zbMATH DE number 1522717 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 897115 (Why is no real title available?)
- scientific article; zbMATH DE number 2230055 (Why is no real title available?)
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Least-squares approach to risk parity in portfolio selection
- Multiplicative factor model for volatility
- Multivariate GARCH models for large-scale applications: a survey
- Multivariate Stochastic Variance Models
- Multivariate Stochastic Volatility
- Network exploration via the adaptive LASSO and SCAD penalties
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- Quadratic shrinkage for large covariance matrices
- Sequential estimation of multivariate factor stochastic volatility models
- Sparsistency and rates of convergence in large covariance matrix estimation
- Statistical analysis of factor models of high dimension
- Statistical analysis of sparse approximate factor models
- The Adaptive Lasso and Its Oracle Properties
- The Model Confidence Set
- The structure of dynamic correlations in multivariate stochastic volatility models
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
This page was built for publication: Factor multivariate stochastic volatility models of high dimension
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7362071)
