Determining the number of factors in a multivariate error correction-volatility factor model
DOI10.1111/j.1368-423X.2008.00259.xzbMath1190.62159OpenAlexW1975228576MaRDI QIDQ3566437
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
model selectiondimension reductionerror correctionco-integrationpenalized goodness-of-fit criteriavolatility factor model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)
Related Items (1)
Cites Work
- Unnamed Item
- Guest editorial: Common features
- Option valuation with co-integrated asset prices
- Generalized autoregressive conditional heteroscedasticity
- Weak convergence and empirical processes. With applications to statistics
- Optimal Inference in Cointegrated Systems
- Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
- Modelling multiple time series via common factors
- Testing for Common Trends
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Modeling and Forecasting Realized Volatility
- Determining the Number of Factors in Approximate Factor Models
This page was built for publication: Determining the number of factors in a multivariate error correction-volatility factor model