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

Sentana, Enrique; Calzolari, Giorgio; Fiorentini, Gabriele

Endnote export

%T Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
%A Sentana, Enrique
%A Calzolari, Giorgio
%A Fiorentini, Gabriele
%J Journal of Econometrics
%N 1
%P 10-
%V 146
%D 2008
%K ARCH; Idiosyncratic risk; Inequality constraints; Kalman filter; Sequential estimators; Simulation estimators; Volatility
%= 2010-09-24T13:37:00Z
%~ http://www.peerproject.eu/
%> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-163968
%C NLD
%G en
%9 journal article
%W GESIS - http://www.gesis.org
%~ SSOAR - http://www.ssoar.info