Identification, estimation and testing of conditionally heteroskedastic factor models
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Publication:5942680
DOI10.1016/S0304-4076(01)00051-3zbMath0977.62111MaRDI QIDQ5942680
Enrique Sentana, Gabriele Fiorentini
Publication date: 24 January 2002
Published in: Journal of Econometrics (Search for Journal in Brave)
volatility; arbitrage pricing theory models; likelihood estimation; simultaneous equations; vector autoregressions
62P20: Applications of statistics to economics
62H25: Factor analysis and principal components; correspondence analysis
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B84: Economic time series analysis
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