Generalized dynamic factor models and volatilities: recovering the market volatility shocks
نویسندگان
چکیده
منابع مشابه
Generalized Dynamic Factor Models and Volatilities Recovering the Market Volatility Shocks
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: The Econometrics Journal
سال: 2015
ISSN: 1368-4221,1368-423X
DOI: 10.1111/ectj.12047