Determining the number of factors in a multivariate error correction-volatility factor model (Q3566437)
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scientific article; zbMATH DE number 5717878
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| English | Determining the number of factors in a multivariate error correction-volatility factor model |
scientific article; zbMATH DE number 5717878 |
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Determining the number of factors in a multivariate error correction-volatility factor model (English)
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8 June 2010
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co-integration
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dimension reduction
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error correction
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volatility factor model
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model selection
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penalized goodness-of-fit criteria
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0.7899843454360962
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0.7885312438011169
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0.7822684645652771
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0.7787305116653442
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0.7749808430671692
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