Generalized dynamic factor models and volatilities: estimation and forecasting
نویسندگان
چکیده
منابع مشابه
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Decomposing volatilities into a common market-driven component and an idiosyncratic itemspecific one is an important issue in financial econometrics. This, however, requires the statistical analysis of large panels of time series, hence faces the usual challenges associated with highdimensional data. Factor model methods in such a context are an ideal tool, but they do not readily apply to the ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2017
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2017.08.010