Estimating factor models for multivariate volatilities : an innovation expansion method

Pan, Jiazhu and Polonik, Wolfgang and Yao, Qiwei; Lechevallier, L. and Saporta, G., eds. (2010) Estimating factor models for multivariate volatilities : an innovation expansion method. In: Proceedings of COMPSTAT 2010. A Physica Verlag Heidelberg product . Physica-Verlag HD, Heidelberg, pp. 305-314. ISBN 978-3-7908-2603-6 (https://doi.org/10.1007/978-3-7908-2604-3_28)

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.

ORCID iDs

Pan, Jiazhu ORCID: https://orcid.org/0000-0001-7346-2052

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• Item metadata

  Item type:	Book Section
  ID code:	29324
  Dates:	Date Event 30 September 2010 Published
  Notes:	Invited paper for COMPSTAT 2010 (19th International Conference on Computational Statistics)
  Subjects:	Science > Mathematics
  Department:	Faculty of Science > Mathematics and Statistics
  Depositing user:	Pure Administrator
  Date deposited:	06 May 2011 12:29
  Last modified:	11 Nov 2024 14:41
  Related URLs:	Journal or Publication
  URI:	https://strathprints.strath.ac.uk/id/eprint/29324