Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory

DOI10.1016/j.jedc.2007.01.026zbMath1181.91350OpenAlexW1987236645MaRDI QIDQ844582

Bernd Rosenow

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2007.01.026

zbMATH Keywords

random matrix theorynoise filteringcorrelation estimationmultivariate volatility forecasts

Mathematics Subject Classification ID

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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Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Noisy covariance matrices and portfolio optimization. II
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
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