Identification, estimation and testing of conditionally heteroskedastic factor models (Q5942680): Difference between revisions

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scientific article; zbMATH DE number 1643356
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English
Identification, estimation and testing of conditionally heteroskedastic factor models
scientific article; zbMATH DE number 1643356

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    Identification, estimation and testing of conditionally heteroskedastic factor models (English)
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    24 January 2002
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    volatility
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    likelihood estimation
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    simultaneous equations
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    vector autoregressions
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    arbitrage pricing theory models
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