Efficient factor GARCH models and factor-DCC models

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High-Dimensional Multivariate Forecasting with Low-Rank Gaussian Copula Processes (2019, methodology): “We also lags values as input L according to the time-frequency, [1, 24, 168] for hourly data, [1, 7, 14] for daily, and [1, 2, 4, 12, 24, 48] for 30 minutes data.”
Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH ☆ (2015, unknown): “More recently, it has been proposed that U can be estimated by independent component analysis (ICA) (Broda and Paolella, 2009; Zhang and Chan, 2009) which is the approach taken in this paper 3 .”
Dynamic spillovers between commodity and currency markets (2015, methodology): “…upon the dynamic conditional correlation (DCC) methodology of Engle (2002), and Aboura and Chevallier (2014), who draw on a more advanced factor dynamic conditional correlation (FDCC) methodology of Zhang and Chan (2009) to study time-varying conditional correlations between various asset classes.”