A long-run pure variance common features model for the common volatilities of the Dow Jones (Q291621)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A long-run pure variance common features model for the common volatilities of the Dow Jones |
scientific article |
Statements
A long-run pure variance common features model for the common volatilities of the Dow Jones (English)
0 references
10 June 2016
0 references
common features
0 references
pure variance common features
0 references
factor models
0 references
factor ARCH
0 references
canonical correlations
0 references
reduced rank regression
0 references
0 references
0 references
0 references