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

DOI10.1111/j.1368-423X.2008.00259.xzbMath1190.62159OpenAlexW1975228576MaRDI QIDQ3566437

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) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)

Related Items (1)

On determination of the number of factors in an approximate factor model

Cites Work

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• 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

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