A factor-GARCH model for high dimensional volatilities (Q2155653)
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scientific article; zbMATH DE number 7557672
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| English | A factor-GARCH model for high dimensional volatilities |
scientific article; zbMATH DE number 7557672 |
Statements
A factor-GARCH model for high dimensional volatilities (English)
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15 July 2022
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approximate factor models
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conditional variance-covariance matrix
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multivariate GARCH
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sparse estimation
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thresholding
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