Factor Stochastic Volatility in Mean Models: A GMM Approach (Q5485106): Difference between revisions

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Latest revision as of 19:44, 24 June 2024

scientific article; zbMATH DE number 5050406
Language Label Description Also known as
English
Factor Stochastic Volatility in Mean Models: A GMM Approach
scientific article; zbMATH DE number 5050406

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    Factor Stochastic Volatility in Mean Models: A GMM Approach (English)
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    28 August 2006
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    asset pricing
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    common features
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    conditional factor models
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    generalized method of moments
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    multivariate conditional heteroskedasticity
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    multiperiod conditional moment restrictions
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    stochastic volatility
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