Determining the number of factors in a multivariate error correction-volatility factor model
DOI10.1111/J.1368-423X.2008.00259.XzbMATH Open1190.62159OpenAlexW1975228576MaRDI QIDQ3566437FDOQ3566437
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
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Weak convergence and empirical processes. With applications to statistics
- Determining the Number of Factors in Approximate Factor Models
- Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
- Modelling multiple time series via common factors
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Optimal Inference in Cointegrated Systems
- Modeling and Forecasting Realized Volatility
- Testing for Common Trends
- Guest editorial: Common features
- Option valuation with co-integrated asset prices
- Title not available (Why is that?)
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