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A time-varying latent factor model with GARCH noise for high-dimensional covariance matrix estimation.

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Title: A time-varying latent factor model with GARCH noise for high-dimensional covariance matrix estimation.
Authors: Ruan, Yuwen1 (AUTHOR), Zhang, Xingfa1 (AUTHOR), Liu, Yujiao1 (AUTHOR), Wang, Yan2 (AUTHOR), Lei, Tianli3 (AUTHOR) 364407945@qq.com
Source: AIMS Mathematics. 2026, Vol. 11 Issue 3, p1-25. 25p.
Database: Mathematics Source
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Header DbId: msf
DbLabel: Mathematics Source
An: 192838909
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PubTypeId: academicJournal
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  Data: A time-varying latent factor model with GARCH noise for high-dimensional covariance matrix estimation.
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  Data: <searchLink fieldCode="JN" term="%22AIMS+Mathematics%22">AIMS Mathematics</searchLink>. 2026, Vol. 11 Issue 3, p1-25. 25p.
PLink https://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=msf&AN=192838909
RecordInfo BibRecord:
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      – Code: eng
        Text: English
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      Pagination:
        PageCount: 25
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      – TitleFull: A time-varying latent factor model with GARCH noise for high-dimensional covariance matrix estimation.
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            NameFull: Ruan, Yuwen
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            NameFull: Zhang, Xingfa
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            NameFull: Liu, Yujiao
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            NameFull: Wang, Yan
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              M: 03
              Text: 2026
              Type: published
              Y: 2026
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              Value: 11
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