A Factor-GARCH Model for High Dimensional Volatilities

Xiao-ling LI, Yuan LI, Jia-zhu PAN, Xing-fa ZHANG

Acta Mathematicae Applicatae Sinica(English Series) ›› 2022, Vol. 38 ›› Issue (3) : 635-663.

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中国科学院数学与系统科学研究院期刊网
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Acta Mathematicae Applicatae Sinica(English Series) ›› 2022, Vol. 38 ›› Issue (3) : 635-663. DOI: 10.1007/s10255-022-1104-6
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A Factor-GARCH Model for High Dimensional Volatilities

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{{article.zuoZheEn_L}}. {{article.title_en}}. Acta Mathematicae Applicatae Sinica(English Series), 2022, 38(3): 635-663 https://doi.org/10.1007/s10255-022-1104-6

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