Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
DOI10.1016/J.JECONOM.2008.06.001zbMATH Open1418.62353OpenAlexW1998909906MaRDI QIDQ295688FDOQ295688
Authors: Enrique Sentana, Giorgio Calzolari, Gabriele Fiorentini 
Publication date: 13 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.06.001
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Cites Work
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- Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
- Constrained Indirect Estimation
- Likelihood-Based Estimation of Latent Generalized ARCH Structures
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- Unobserved component models with asymmetric conditional variances
Cited In (16)
- Econometrics exams and round numbers: Use or misuse of indirect estimation methods?
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
- Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators
- Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
- A spectral EM algorithm for dynamic factor models
- Estimating stable latent factor models by indirect inference
- Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
- Through the looking glass: indirect inference via simple equilibria
- Generalized dynamic factor models and volatilities: estimation and forecasting
- Unobserved component models with asymmetric conditional variances
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
- Estimating multiple-membership logit models with mixed effects: indirect inference versus data cloning
- Deciding between GARCH and stochastic volatility via strong decision rules
- The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
- On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
- Simulation-based bias correction methods for complex models
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