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

Sentana, Enrique; Calzolari, Giorgio; Fiorentini, Gabriele

[journal article]

dc.contributor.author	Sentana, Enrique	de
dc.contributor.author	Calzolari, Giorgio	de
dc.contributor.author	Fiorentini, Gabriele	de
dc.date.accessioned	2010-09-24T02:53:00Z	de
dc.date.accessioned	2012-08-29T22:10:51Z
dc.date.available	2012-08-29T22:10:51Z
dc.date.issued	2008	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/16396
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Sozialwissenschaften, Soziologie	de
dc.subject.ddc	Social sciences, sociology, anthropology	en
dc.subject.ddc	Economics	en
dc.subject.other	ARCH; Idiosyncratic risk; Inequality constraints; Kalman filter; Sequential estimators; Simulation estimators; Volatility
dc.title	Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Journal of Econometrics	de
dc.source.volume	146	de
dc.publisher.country	NLD
dc.source.issue	1	de
dc.subject.classoz	Economics	en
dc.subject.classoz	Wirtschaftswissenschaften	de
dc.subject.classoz	Erhebungstechniken und Analysetechniken der Sozialwissenschaften	de
dc.subject.classoz	Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods	en
dc.identifier.urn	urn:nbn:de:0168-ssoar-163968	de
dc.date.modified	2010-09-24T13:37:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	10-
internal.identifier.classoz	10900
internal.identifier.classoz	10105
internal.identifier.journal	195	de
internal.identifier.document	32
internal.identifier.ddc	300
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1016/j.jeconom.2008.06.001	de
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.languageharmonizer	CERTAIN_RETAINED

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Erhebungstechniken und Analysetechniken der Sozialwissenschaften
Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods
Wirtschaftswissenschaften (allgemein)
Economics (general)

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