Unified inference for nonlinear factor models from panels with fixed and large time span
DOI10.1016/j.jeconom.2019.04.018zbMath1452.62874OpenAlexW2940370615WikidataQ128116679 ScholiaQ128116679MaRDI QIDQ2323363
Viktor Todorov, Rasmus T. Varneskov, Torben G. Andersen, Nicola Fusari
Publication date: 2 September 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10398/5c02d2a3-3987-457a-b8cb-17ed04ffb1ab
optionsasymptotic biasstochastic volatilitypanel datainferencestable convergencelarge data setsincidental parameter problemnonlinear factor model
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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