Stability conditions for heteroscedastic factor models with conditionally autoregressive betas
From MaRDI portal
Publication:5495694
DOI10.1111/j.1467-9892.2010.00706.xzbMath1294.91193OpenAlexW2151827500MaRDI QIDQ5495694
No author found.
Publication date: 6 August 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00706.x
Factor analysis and principal components; correspondence analysis (62H25) 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)
Related Items (1)
Cites Work
- Unnamed Item
- Aggregation and memory of models of changing volatility
- Bilinear Markovian representation and bilinear models
- Time series: theory and methods
- Random coefficient autoregressive models: an introduction
- Properties of moments of a family of GARCH processes
- The second moment and the autocovariance function of the squared errors of the GARCH model
- Generalized autoregressive conditional heteroscedasticity
- Marginalization and contemporaneous aggregation in multivariate GARCH processes
- Temporal aggregation of volatility models
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- On the Evolution of Global Style Factors in the Morgan Stanley Capital International Universe of Assets
- On the Autocorrelation Properties of Long‐Memory GARCH Processes
- Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
- Some Estimators for a Linear Model with Random Coefficients
- Identification, estimation and testing of conditionally heteroskedastic factor models
This page was built for publication: Stability conditions for heteroscedastic factor models with conditionally autoregressive betas