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Estimating Factor Models for Multivariate Volatilities: An Innovation Expansion Method

In: Proceedings of COMPSTAT'2010

Author

Listed:
  • 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)

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.

Suggested Citation

  • Jiazhu Pan & Wolfgang Polonik & Qiwei Yao, 2010. "Estimating Factor Models for Multivariate Volatilities: An Innovation Expansion Method," Springer Books, in: Yves Lechevallier & Gilbert Saporta (ed.), Proceedings of COMPSTAT'2010, pages 305-314, Springer.
    • Handle: RePEc:spr:sprchp:978-3-7908-2604-3_28
    DOI: 10.1007/978-3-7908-2604-3_28
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