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. © Springer-Verlag Berlin Heidelberg 2010.
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CITATION STYLE
Pan, J., Polonik, W., & Yao, Q. (2010). Estimating factor models for multivariate volatilities: An innovation expansion method. In Proceedings of COMPSTAT 2010 - 19th International Conference on Computational Statistics, Keynote, Invited and Contributed Papers (pp. 305–314). Springer Science and Business Media Deutschland GmbH. https://doi.org/10.1007/978-3-7908-2604-3_28
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