Consistently determining the number of factors in multivariate volatility modelling

By Qiang Xia, Wang-li Xu, Lixing Zhu. 2015

60 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9f6d401726c158fad020cbc5ea65c28178a4b740