Identification, estimation and testing of conditionally heteroskedastic factor models

DOI10.1016/S0304-4076(01)00051-3zbMath0977.62111MaRDI QIDQ5942680

Enrique Sentana, Gabriele Fiorentini

Publication date: 24 January 2002

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

volatility; arbitrage pricing theory models; likelihood estimation; simultaneous equations; vector autoregressions

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

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Cites Work

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