Determining the number of factors in a multivariate error correction-volatility factor model

DOI10.1111/J.1368-423X.2008.00259.XMaRDI QIDQ3566437zbMATH OpenOpenAlexFDO

Authors Qiaoling Li, Jiazhu Pan

Publication date 8 June 2010

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2008.00259.x

zbMATH Keywords

model selectiondimension reductionerror correctionco-integrationpenalized goodness-of-fit criteriavolatility factor model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 3852282 (Why is no real title available?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Determining the Number of Factors in Approximate Factor Models
• Generalized autoregressive conditional heteroscedasticity
• Guest editorial: Common features
• Modeling and Forecasting Realized Volatility
• Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
• Modelling multiple time series via common factors
• Optimal Inference in Cointegrated Systems
• Option valuation with co-integrated asset prices
• Testing for Common Trends
• Weak convergence and empirical processes. With applications to statistics

Cited in

(3)

• On determination of the number of factors in an approximate factor model
• Error-correction factor models for high-dimensional cointegrated time series
• Consistently determining the number of factors in multivariate volatility modelling

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