The relation between conditionally heteroskedastic factor models and factor GARCH models

DOI10.1111/1368-423X.12014zbMath1041.91037MaRDI QIDQ4415851

Enrique Sentana

Publication date: 7 August 2003

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

zbMATH Keywords

asset pricingvolatilityfactor modelsmultivariate ARCH

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (5)

A long-run pure variance common features model for the common volatilities of the Dow Jones ⋮ The common and specific components of dynamic volatility ⋮ Marginalization and contemporaneous aggregation in multivariate GARCH processes ⋮ The uncertainties about the relationships risk-return-volatility in the Spanish stock market ⋮ Identification, estimation and testing of conditionally heteroskedastic factor models

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