Consistently determining the number of factors in multivariate volatility modelling
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Publication:2950203
DOI10.5705/ss.2013.252zbMath1415.62067MaRDI QIDQ2950203
Qiang Xia, Li Xing Zhu, Wang-li Xu
Publication date: 8 October 2015
Published in: Statistica Sinica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.5705/ss.2013.252
dimension reduction; nonstationarity; eigenanalysis; multivariate volatility; factor modelling; BIC-type criterion; ratio estimate
62F12: Asymptotic properties of parametric estimators
62H25: Factor analysis and principal components; correspondence analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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