Estimating Factor Models for Multivariate Volatilities: An Innovation Expansion Method
نویسندگان
چکیده
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.
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تاریخ انتشار 2010