Identification, estimation and testing of conditionally heteroskedastic factor models
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Cites work
- A note on a sufficiency condition for uniqueness of a restricted factor matrix
- A Structure Theory for Linear Dynamic Errors-in-Variables Models
- Asymptotic Properties of Maximum Likelihood Estimators and Likelihood Ratio Tests Under Nonstandard Conditions
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- scientific article; zbMATH DE number 192992 (Why is no real title available?)
- scientific article; zbMATH DE number 3396952 (Why is no real title available?)
- Identification in restricted factor models and the evaluation of rank conditions
- Identification, estimation and testing of conditionally heteroskedastic factor models
- Local identifiability of the factor analysis and measurement error model parameter
- Marginalization and contemporaneous aggregation in multivariate GARCH processes
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Rotational equivalence of factor loading matrices with specified values
- STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
- Testing for GARCH effects: A one-sided approach
- The relation between conditionally heteroskedastic factor models and factor GARCH models
- Volatility and Links between National Stock Markets
Cited in
(53)- Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models
- Identification of factor models by behavioural and subspace methods
- Sparse Bayesian time-varying covariance estimation in many dimensions
- ARCH modeling in finance. A review of the theory and empirical evidence
- Testing for identification in SVAR-GARCH models
- On identifying structural VAR models via ARCH effects
- A spectral EM algorithm for dynamic factor models
- The effect of conditional heteroskedasticity on common statistical procedures for means and variances
- Explaining the single factor bias of arbitrage pricing models in finite samples
- A scalar dynamic conditional correlation model: structure and estimation
- Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty
- Stock return and cash flow predictability: the role of volatility risk
- The uncertainties about the relationships risk-return-volatility in the Spanish stock market
- Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models
- Factor representing portfolios in large asset markets
- Identification theory for high dimensional static and dynamic factor models
- Estimating a class of triangular simultaneous equations models without exclusion restrictions
- A long-run pure variance common features model for the common volatilities of the Dow Jones
- Likelihood-based specification tests for dynamic factor models
- Weighted scatter estimation method of the GO-GARCH models
- Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
- An EM-Based Viterbi Approximation Algorithm for Mixed-State Latent Factor Models
- The relation between conditionally heteroskedastic factor models and factor GARCH models
- Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
- A multivariate GARCH model incorporating the direct and indirect transmission of shocks
- Testing identification via heteroskedasticity in structural vector autoregressive models
- Extracting conditionally heteroskedastic components using independent component analysis
- Assessing the forecasting accuracy of the conditionally heteroskedastic latent factor model
- scientific article; zbMATH DE number 7113412 (Why is no real title available?)
- A conditionally heteroskedastic binary choice model for macro-financial time series
- Factor and Idiosyncratic Empirical Processes
- Testing for common conditionally heteroskedastic factors
- Factor Stochastic Volatility in Mean Models: A GMM Approach
- Stability conditions for heteroscedastic factor models with conditionally autoregressive betas
- Estimation and properties of a time-varying EGARCH(1,1) in mean model
- Identification, estimation and testing of conditionally heteroskedastic factor models
- Robust high-dimensional alpha test for conditional time-varying factor models
- Monetary policy, external instruments, and heteroskedasticity
- Estimation and properties of a time-varying GQARCH(1,1)-M model
- Identification of vector autoregressive models with nonlinear contemporaneous structure
- Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities
- Specification testing for conditional moment restrictions under local identification failure
- Specification tests for non-Gaussian structural vector autoregressions
- Consistent causal inference for high-dimensional time series
- Sequential estimation of multivariate factor stochastic volatility models
- SVAR identification with nowcasted macroeconomic data
- Improving estimation of portfolio risk using new statistical factors
- Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly
- Partial identification of structural vector autoregressions with non-centred stochastic volatility
- Identification of structural shocks in Bayesian vector error correction models with two-state Markov-switching heteroskedasticity
- Jumps and betas: a new framework for disentangling and estimating systematic risks
- Method of moments estimation of GO-GARCH models
- On asymptotic theory for multivariate GARCH models
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