A factor-GARCH model for high dimensional volatilities (Q2155653)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A factor-GARCH model for high dimensional volatilities |
scientific article |
Statements
A factor-GARCH model for high dimensional volatilities (English)
0 references
15 July 2022
0 references
approximate factor models
0 references
conditional variance-covariance matrix
0 references
multivariate GARCH
0 references
sparse estimation
0 references
thresholding
0 references
0 references
