Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (Q295688)
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scientific article; zbMATH DE number 6592940
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| English | Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
scientific article; zbMATH DE number 6592940 |
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Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (English)
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13 June 2016
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ARCH
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idiosyncratic risk
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inequality constraints
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Kalman filter
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sequential estimators
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simulation estimators
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volatility
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0.7884255051612854
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0.7636603713035583
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0.743156373500824
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0.7420995235443115
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0.7365525960922241
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