A factor-GARCH model for high dimensional volatilities
DOI10.1007/S10255-022-1104-6zbMATH Open1490.62259OpenAlexW4283752116MaRDI QIDQ2155653FDOQ2155653
Authors: Jiazhu Pan, Xiao-Ling Li, Yuan Li, XingFa Zhang 
Publication date: 15 July 2022
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-022-1104-6
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Cites Work
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- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
- Covariance regularization by thresholding
- Regularized estimation of large covariance matrices
- Probability and moment inequalities under dependence
- Multivariate time series analysis. With R and financial applications
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- Modelling multiple time series via common factors
- Common risk factors in the returns on stocks and bonds
- Adaptive thresholding for sparse covariance matrix estimation
- Estimation with quadratic loss.
- ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
- Generalized Thresholding of Large Covariance Matrices
- Optimal rates of convergence for sparse covariance matrix estimation
- High-dimensional covariance matrix estimation in approximate factor models
- Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
- Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
- GARCH Models
Cited In (8)
- Large volatility matrix inference via combining low-frequency and high-frequency approaches
- A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
- Factor Stochastic Volatility in Mean Models: A GMM Approach
- Efficient factor GARCH models and factor-DCC models
- A Student-\(t\) full factor multivariate GARCH model
- Dynamic modeling of high-dimensional correlation matrices in finance
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
- Determining the number of factors in a multivariate error correction-volatility factor model
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