Identification, estimation and testing of conditionally heteroskedastic factor models (Q5942680): Difference between revisions
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Revision as of 09:23, 30 July 2024
scientific article; zbMATH DE number 1643356
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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