Stability conditions for heteroscedastic factor models with conditionally autoregressive betas

DOI10.1111/J.1467-9892.2010.00706.XMaRDI QIDQ5495694zbMATH OpenOpenAlexFDO

Authors

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

zbMATH Keywords

beta coefficientevolutionfactor modelsforecastingpersistencepricingstabilitystationarity

Mathematics Subject Classification ID

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)

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Cites work

• Aggregation and memory of models of changing volatility
• Bilinear Markovian representation and bilinear models
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5010681 (Why is no real title available?)
• Identification, estimation and testing of conditionally heteroskedastic factor models
• Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
• Marginalization and contemporaneous aggregation in multivariate GARCH processes
• On the Autocorrelation Properties of Long‐Memory GARCH Processes
• On the Evolution of Global Style Factors in the Morgan Stanley Capital International Universe of Assets
• Properties of moments of a family of GARCH processes
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Random coefficient autoregressive models: an introduction
• Some Estimators for a Linear Model with Random Coefficients
• Temporal aggregation of volatility models
• The second moment and the autocovariance function of the squared errors of the GARCH model
• Time series: theory and methods

Cited in

(2)

• Asymptotics of Cholesky GARCH models and time-varying conditional betas
• Sequential monitoring of portfolio betas

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