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
Recommendations
- Estimating factor models for multivariate volatilities: an innovation expansion method
- Efficient factor GARCH models and factor-DCC models
- Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- Analysis of high dimensional multivariate stochastic volatility models
sparse estimationthresholdingmultivariate GARCHapproximate factor modelsconditional variance-covariance matrix
Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- High dimensional covariance matrix estimation using a factor model
- Factor modeling for high-dimensional time series: inference for the number of factors
- 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
- Estimation of latent factors for high-dimensional time series
- 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. Structure, statistical inference and financial applications
Cited In (19)
- Large volatility matrix inference via combining low-frequency and high-frequency approaches
- Inference theory for volatility functional dependencies
- A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks
- Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
- Weighted scatter estimation method of the GO-GARCH models
- 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
- High-dimensional index volatility models via Stein's identity
- Forecasting high-dimensional realized volatility matrices using a factor model
- Dynamic modeling of high-dimensional correlation matrices in finance
- GARCH-type factor model
- Dynamic factor multivariate GARCH model
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
- High-dimensional penalized ARCH processes
- Determining the number of factors in a multivariate error correction-volatility factor model
- A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering
- Estimating factor models for multivariate volatilities: an innovation expansion method
This page was built for publication: A factor-GARCH model for high dimensional volatilities
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2155653)
