Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory
DOI10.1016/J.JEDC.2007.01.026zbMATH Open1181.91350OpenAlexW1987236645MaRDI QIDQ844582FDOQ844582
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2007.01.026
Recommendations
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cited In (4)
- Random matrix theory analysis of cross-correlations in the US stock market: evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient
- A unified model for regularized and robust portfolio optimization
- Analysis of high dimensional multivariate stochastic volatility models
- Forecasting volatility with support vector machine-based GARCH model
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