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Determining the number of factors in a multivariate error correction–volatility factor model
Q. Li,
J. Pan
Mathematics And Statistics
Research output
:
Contribution to journal
›
Article
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peer-review
2
Citations (Scopus)
59
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Dive into the research topics of 'Determining the number of factors in a multivariate error correction–volatility factor model'. Together they form a unique fingerprint.
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Mathematics
Number
100%
Conditionals
66%
Structure Factor
66%
Error Correction
66%
Real Data
33%
Conditional Variance
33%
Independence
33%
Heteroscedasticity
33%
Mean Variance
33%
Computer Science
Models
100%
Monte Carlo Simulation
66%
Error Correction
66%
Factor Structure
66%
Dimension Reduction
33%
Specifications
33%
Economics, Econometrics and Finance
Factor Model
100%
Volatility
33%
Time Series
33%
Psychology
Assumptions
33%