Estimating Factor Models for Multivariate Volatilities: An Innovation Expansion Method

Jiazhu Pan (), Wolfgang Polonik () and Qiwei Yao ()
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Jiazhu Pan: University of Strathclyde, Department of Mathematics and Statistics
Wolfgang Polonik: University of California at Davis, Division of Statistics
Qiwei Yao: London School of Economics, Department of Statistics

A chapter in Proceedings of COMPSTAT'2010, 2010, pp 305-314 from Springer

Abstract: 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; factor models; multivariate volatility (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2604-3_28

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

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