Modelling multivariate volatilities via latent common factors
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Cited by:
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High‐Dimensional Vector Autoregressive Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High Dimensional Vector Autoregressive Models," CEIS Research Paper 534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Gianluca Cubadda & Alain Hecq, 2020.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
Papers
2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High Dimensional Vector Autoregressive Models," CEIS Research Paper 534, Tor Vergata University, CEIS, revised 24 Mar 2022.
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More about this item
Keywords
Eigenanalysis; latent factors; multi-dimensional volatility process; volatility space;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- L81 - Industrial Organization - - Industry Studies: Services - - - Retail and Wholesale Trade; e-Commerce
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-04-16 (Econometrics)
- NEP-ETS-2018-04-16 (Econometric Time Series)
- NEP-ORE-2018-04-16 (Operations Research)
- NEP-RMG-2018-04-16 (Risk Management)
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