Modeling multivariate volatilities via latent common factors
Weiming Li, Jing Gao and Kunpeng Li, Qiwei Yao
| Year of publication: |
October 2016
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| Authors: | Li, Weiming ; Gao, Jing ; Li, Kunpeng ; Yao, Qiwei |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 34.2016, 4, p. 564-573
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| Subject: | Eigenanalysis | Latent factors | Multi-dimensional volatility process | Volatility space | Volatilität | Volatility | Multivariate Analyse | Multivariate analysis | Theorie | Theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2015.1092975 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011692411