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Open Access research with a European policy impact...

The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by Strathclyde researchers, including by researchers from the European Policies Research Centre (EPRC).

EPRC is a leading institute in Europe for comparative research on public policy, with a particular focus on regional development policies. Spanning 30 European countries, EPRC research programmes have a strong emphasis on applied research and knowledge exchange, including the provision of policy advice to EU institutions and national and sub-national government authorities throughout Europe.

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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

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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.