Consistently determining the number of factors in multivariate volatility modelling (Q2950203)
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scientific article; zbMATH DE number 6492078
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| default for all languages | No label defined |
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| English | Consistently determining the number of factors in multivariate volatility modelling |
scientific article; zbMATH DE number 6492078 |
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Consistently determining the number of factors in multivariate volatility modelling (English)
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8 October 2015
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BIC-type criterion
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dimension reduction
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eigenanalysis
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factor modelling
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multivariate volatility
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nonstationarity
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ratio estimate
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0.7787305116653442
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0.7734566926956177
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0.7721935510635376
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0.7645366191864014
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0.7608669996261597
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