Estimating factor models for multivariate volatilities: an innovation expansion method

Jiazhu Pan; Wolfgang Polonik; Qiwei Yao

doi:10.1007/978-3-7908-2604-3_28

Estimating factor models for multivariate volatilities: an innovation expansion method

Jiazhu Pan, Wolfgang Polonik, Qiwei Yao

Mathematics And Statistics

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution book

5 Citations (Scopus)

84 Downloads (Pure)

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.

Original language	English
Title of host publication	Proceedings of COMPSTAT 2010
Editors	L. Lechevallier, G. Saporta
Place of Publication	Heidelberg
Pages	305-314
Number of pages	10
DOIs	https://doi.org/10.1007/978-3-7908-2604-3_28
Publication status	Published - 30 Sept 2010

Publication series

Name	A Physica Verlag Heidelberg product

Keywords

dimension reduction
multivariate volatility
factor models

Access to Document

10.1007/978-3-7908-2604-3_28

Cite this

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title = "Estimating factor models for multivariate volatilities: an innovation expansion method",

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.",

keywords = "dimension reduction , multivariate volatility, factor models",

author = "Jiazhu Pan and Wolfgang Polonik and Qiwei Yao",

note = "Invited paper for COMPSTAT 2010 (19th International Conference on Computational Statistics)",

year = "2010",

month = sep,

day = "30",

doi = "10.1007/978-3-7908-2604-3_28",

language = "English",

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editor = "L. Lechevallier and G. Saporta",

booktitle = "Proceedings of COMPSTAT 2010",

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TY - GEN

T1 - Estimating factor models for multivariate volatilities

T2 - an innovation expansion method

AU - Pan, Jiazhu

AU - Polonik, Wolfgang

AU - Yao, Qiwei

N1 - Invited paper for COMPSTAT 2010 (19th International Conference on Computational Statistics)

PY - 2010/9/30

Y1 - 2010/9/30

N2 - 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.

AB - 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.

KW - dimension reduction

KW - multivariate volatility

KW - factor models

UR - http://www.springer.com/statistics/computanional+statistics/book/978-3-7908-2603-6

U2 - 10.1007/978-3-7908-2604-3_28

DO - 10.1007/978-3-7908-2604-3_28

M3 - Conference contribution book

SN - 978-3-7908-2603-6

T3 - A Physica Verlag Heidelberg product

SP - 305

EP - 314

BT - Proceedings of COMPSTAT 2010

A2 - Lechevallier, L.

A2 - Saporta, G.

CY - Heidelberg

ER -

Estimating factor models for multivariate volatilities: an innovation expansion method

Abstract

Publication series

Keywords

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System Risks In Information-Rich Environments: Monitoring For Safe And Cost-Effective Operation (Bridging The Gap) / RA4505

Cite this

Estimating factor models for multivariate volatilities: an innovation expansion method

Abstract

Publication series

Keywords

Access to Document

Other files and links

Fingerprint

Projects

System Risks In Information-Rich Environments: Monitoring For Safe And Cost-Effective Operation (Bridging The Gap) / RA4505

Cite this