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Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks

[journal article]

Sentana, Enrique; Calzolari, Giorgio; Fiorentini, Gabriele

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Please use the following Persistent Identifier (PID) to cite this document:http://nbn-resolving.de/urn:nbn:de:0168-ssoar-163968

Further Details
Classification Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods; Economics
Free Keywords ARCH; Idiosyncratic risk; Inequality constraints; Kalman filter; Sequential estimators; Simulation estimators; Volatility
Document language English
Publication Year 2008
Page/Pages p. 10-
Journal Journal of Econometrics, 146 (2008) 1
DOI http://dx.doi.org/10.1016/j.jeconom.2008.06.001
Status Postprint; reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)
Document Type journal article
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