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Estimating factor models for multivariate volatilities: an innovation expansion approach

Pan, Jiazhu and Polonik, Wolfgang and Yao, Qiwei (2010) Estimating factor models for multivariate volatilities: an innovation expansion approach. [Proceedings Paper]

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    Abstract

    We introduce an innovation expansion method for estimation of factor models for conditional variance (volatility) of a multivariate time series.We estimate the factor loading space and the number of factors by a stepwise optimization algorithm on expanding the white noise space". Simulation and a real data example are given for illustration.

    Item type: Proceedings Paper
    ID code: 29324
    Keywords: dimension reduction , multivariate volatility, factor models,, Mathematics
    Subjects: Science > Mathematics
    Department: Faculty of Science > Mathematics and Statistics
    Related URLs:
    Depositing user: Pure Administrator
    Date Deposited: 06 May 2011 13:29
    Last modified: 18 Jul 2013 10:57
    URI: http://strathprints.strath.ac.uk/id/eprint/29324

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