The common and specific components of dynamic volatility

DOI10.1016/j.jeconom.2005.01.029zbMath1337.62123MaRDI QIDQ291638

Oliver B. Linton, Gregory Connor, Robert A. Korajczyk

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://eprints.maynoothuniversity.ie/8433/1/1-s2.0-S0304407605000473-main.pdf

zbMATH Keywords

ARCH; volatility; principal components; factor models; APT

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics