The common and specific components of dynamic volatility (Q291638)

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The common and specific components of dynamic volatility
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    title
    The common and specific components of dynamic volatility (English)
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    author
    Gregory Connor
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    Robert A. Korajczyk
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    Oliver B. Linton
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    publication date
    10 June 2016
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    Mathematics Subject Classification ID
    62H25
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    62M10
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    62P05
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    zbMATH DE Number
    6591648
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    zbMATH Keywords
    APT
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    ARCH
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    factor models
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    principal components
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    volatility
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    OpenAlex ID
    W3121480739
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