High-Dimensional Conditional Covariance Matrices Estimation Using a Factor-GARCH Model.
Xiaoling LiXingfa ZhangYuan LiPublished in: Symmetry (2022)
Keyphrases
- covariance matrices
- high dimensional
- covariance matrix
- garch model
- maximum likelihood
- vector space
- gaussian distribution
- gaussian mixture model
- distance measure
- parameter estimation
- similarity search
- low dimensional
- gaussian mixture
- feature vectors
- stock market
- high dimensionality
- linear classifiers
- image processing
- non stationary
- sample size
- dimensionality reduction
- principal component analysis
- long term
- feature space
- similarity measure