The common and specific components of dynamic volatility

DOI10.1016/J.JECONOM.2005.01.029MaRDI QIDQ291638zbMATH OpenOpenAlexFDO

Authors Gregory Connor, Robert A. Korajczyk, Oliver Linton

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

factor modelsprincipal componentsvolatilityARCHAPT

Mathematics Subject Classification ID

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)

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Cites work

• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Determining the Number of Factors in Approximate Factor Models
• GMM estimation of linear panel data models with time-varying individual effects
• Generalized autoregressive conditional heteroscedasticity
• Inferential Theory for Factor Models of Large Dimensions
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Linear Regression Limit Theory for Nonstationary Panel Data
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• The relation between conditionally heteroskedastic factor models and factor GARCH models

Cited in

(9)

• Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
• Improving the finite sample performance of autoregression estimators in dynamic factor models: a bootstrap approach
• What distinguishes individual stocks from the index?
• Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach
• A long-run pure variance common features model for the common volatilities of the Dow Jones
• Dynamic component detection in a multifactor model for stock returns
• Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
• Generalized dynamic factor models and volatilities: estimation and forecasting
• Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals

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