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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.
|Title of host publication||Proceedings of COMPSTAT 2010|
|Editors||L. Lechevallier, G. Saporta|
|Place of Publication||Heidelberg|
|Number of pages||10|
|Publication status||Published - 30 Sept 2010|
|Name||A Physica Verlag Heidelberg product|
- dimension reduction
- multivariate volatility
- factor models
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- 1 Finished
System Risks In Information-Rich Environments: Monitoring For Safe And Cost-Effective Operation (Bridging The Gap) / RA4505
24/11/09 → 30/04/10
Project: Research - Internally Allocated