A factor-GARCH model for high dimensional volatilities

DOI10.1007/S10255-022-1104-6zbMATH Open1490.62259OpenAlexW4283752116MaRDI QIDQ2155653FDOQ2155653

Yuan Li, XingFa Zhang, Xiao-Ling Li, Jiazhu Pan

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

zbMATH Keywords

sparse estimationthresholdingmultivariate GARCHapproximate factor modelsconditional variance-covariance matrix

Mathematics Subject Classification ID

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
• Title not available (Why is that?)
• 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 (3)

• 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
• Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model

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