Strathprints Home | Open Access | Browse | Search | User area | Copyright | Help | Library Home | SUPrimo

Estimating factor models for multivariate volatilities : an innovation expansion method

Pan, Jiazhu and Polonik, Wolfgang and Yao, Qiwei (2010) Estimating factor models for multivariate volatilities : an innovation expansion method. In: Proceedings of COMPSTAT 2010. A Physica Verlag Heidelberg product . Springer, pp. 305-314. ISBN 978-3-7908-2603-6

[img]
Preview
PDF - Draft Version
Download (183Kb) | Preview

    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: Book Section
    ID code: 29324
    Notes: Invited paper for COMPSTAT 2010 (19th International Conference on Computational Statistics)
    Keywords: dimension reduction , multivariate volatility, factor models,, Mathematics, Statistics and Probability
    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: 29 Jul 2014 17:01
    URI: http://strathprints.strath.ac.uk/id/eprint/29324

    Actions (login required)

    View Item

    Fulltext Downloads: