Estimation of large volatility matrices with low-rank signal plus sparse noise structures
Runyu Dai, Yasumasa Matsuda
| Year of publication: |
[2023]
|
|---|---|
| Authors: | Dai, Runyu ; Matsuda, Yasumasa |
| Publisher: |
Sendai, Japan : Center for Data Science and Service Research, Graduate School of Economic and Management, Tohoku University |
| Subject: | Volatility matrix | multivariate GARCH | factor models | thresholding | high-dimensional data | ePOET | Volatilität | Volatility | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Schätzung | Estimation | Faktorenanalyse | Factor analysis | Lineare Algebra | Linear algebra | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis |
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