Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
From MaRDI portal
Publication:2511805
DOI10.1016/j.jeconom.2014.05.017zbMath1311.62173MaRDI QIDQ2511805
Matteo Barigozzi, David Veredas, Christian Brownlees, Giampiero M. Gallo
Publication date: 6 August 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://local.disia.unifi.it/wp_disia/2014/wp_disia_2014_02.pdf
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G05: Nonparametric estimation
91B82: Statistical methods; economic indices and measures
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