A factor-GARCH model for high dimensional volatilities
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Publication:2155653
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)
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- Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
Cited in
(20)- Inference theory for volatility functional dependencies
- 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
- Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks
- 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
- Dynamic modeling of high-dimensional correlation matrices in finance
- Forecasting high-dimensional realized volatility matrices using a factor model
- Sparse Bayesian time-varying covariance estimation in many dimensions
- 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
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