Sequential estimation of multivariate factor stochastic volatility models

DOI10.1007/S10182-025-00536-3MaRDI QIDQ6845771zbMATH OpenFDO

Authors Christian Mücher, Giorgio Calzolari, Roxana Halbleib

Publication date 12 March 2026

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10182-025-00536-3

zbMATH Keywords

curse of dimensionalityefficient method of momentsestimationfactor modelsmultivariate stochastic volatility

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Sequential estimation (62L12)

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