Bauwens, L.; Rombouts, J. V. K. - In: Econometric Reviews 26 (2007) 2-4, pp. 365-386
We consider the estimation of a large number of GARCH models, of the order of several hundreds. Our interest lies in the identification of common structures in the volatility dynamics of the univariate time series. To do so, we classify the series in an unknown number of clusters. Within a...