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Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
[journal article]
Classification
Economics
Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods
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
https://doi.org/10.1016/j.jeconom.2008.06.001
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)