Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks

DOI10.1016/J.JECONOM.2008.06.001zbMath1418.62353OpenAlexW1998909906MaRDI QIDQ295688

Gabriele Fiorentini, Enrique Sentana, Giorgio Calzolari

Publication date: 13 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.06.001

zbMATH Keywords

Kalman filterARCHinequality constraintsvolatilitysimulation estimatorsidiosyncratic risksequential estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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