GARCH-type factor model

DOI10.1016/J.JMVA.2022.105001MaRDI QIDQ2140876zbMATH OpenOpenAlexFDO

Authors Yuanbo Li, Chi Tim Ng, Chun Yip Yau

Publication date 23 May 2022

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2022.105001

zbMATH Keywords

factor modelGARCH-like structurequasi-likelihood estimation

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Asymptotics for GARCH squared residual correlations
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Estimation in conditionally heteroscedatic time series models.
• Factor modeling for high-dimensional time series: inference for the number of factors
• Forecasting Using Principal Components From a Large Number of Predictors
• scientific article; zbMATH DE number 3665891 (Why is no real title available?)
• scientific article; zbMATH DE number 1261669 (Why is no real title available?)
• Inferential Theory for Factor Models of Large Dimensions
• Nearly unbiased variable selection under minimax concave penalty
• Statistical analysis of factor models of high dimension
• The Generalized Dynamic Factor Model
• The use of factor analysis in the statistical analysis of multiple time series

Cited in

(8)

• Unfolded GARCH models
• A Skellam GARCH model
• Statistical analysis of a class of factor time series models
• Three-factor profile analysis with GARCH innovations
• Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
• DYNAMIC FACTOR MODELS
• GARCH model selection criteria
• Estimation and application of the vector-valued AR-GoGARCH models: symmetric and asymmetric innovations

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