Open AccessComparison of Dimension Reduction Methods for Time Series Factor Analysis: A Case Study
Author(s) -
Dae-Su Lee,
Seongjoo Song
Publication year - 2011
Publication title -
korean journal of applied statistics
Language(s) - English
Resource type - Journals
eISSN - 2383-5818
pISSN - 1225-066X
DOI - 10.5351/kjas.2011.24.4.597
Subject(s) - value at risk , dynamic factor , volatility (finance) , econometrics , autocorrelation , autoregressive conditional heteroskedasticity , portfolio , dimensionality reduction , expected shortfall , dimension (graph theory) , vector autoregression , mathematics , computer science , statistics , economics , finance , risk management , artificial intelligence , pure mathematics
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