Pages that link to "Item:Q5942680"

The following pages link to Identification, estimation and testing of conditionally heteroskedastic factor models (Q5942680):

Displaying 23 items.

• Sparse Bayesian time-varying covariance estimation in many dimensions (Q117775) (← links)
• A long-run pure variance common features model for the common volatilities of the Dow Jones (Q291621) (← links)
• Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (Q295688) (← links)
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks (Q472754) (← links)
• Estimation and properties of a time-varying GQARCH(1,1)-M model (Q642451) (← links)
• Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514) (← links)
• Method of moments estimation of GO-GARCH models (Q737949) (← links)
• On asymptotic theory for multivariate GARCH models (Q842922) (← links)
• Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models (Q1037440) (← links)
• ARCH modeling in finance. A review of the theory and empirical evidence (Q1185104) (← links)
• Testing for identification in SVAR-GARCH models (Q1656455) (← links)
• On identifying structural VAR models via ARCH effects (Q1695560) (← links)
• A spectral EM algorithm for dynamic factor models (Q1754525) (← links)
• A scalar dynamic conditional correlation model: structure and estimation (Q1989915) (← links)
• Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty (Q2236881) (← links)
• Stock return and cash flow predictability: the role of volatility risk (Q2347721) (← links)
• The uncertainties about the relationships risk-return-volatility in the Spanish stock market (Q2430228) (← links)
• Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models (Q2431710) (← links)
• Factor representing portfolios in large asset markets (Q2439044) (← links)
• Estimating a class of triangular simultaneous equations models without exclusion restrictions (Q2630158) (← links)
• Weighted scatter estimation method of the GO-GARCH models (Q2930903) (← links)
• Stability conditions for heteroscedastic factor models with conditionally autoregressive betas (Q5495694) (← links)
• Monetary policy, external instruments, and heteroskedasticity (Q6067210) (← links)