A stochastic variance factor model for large datasets and an application to S&P data
Andrea Cipollini and George Kapetanios
| Year of publication: |
Febr. 2004 ; [Elektronische Ressource]
|
|---|---|
| Other Persons: | Cipollini, Andrea (contributor) ; Kapetanios, George (contributor) |
| Institutions: | Queen Mary College / Department of Economics (contributor) |
| Publisher: |
London : Queen Mary, Univ. of London, Dep. of Economics |
| Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Multivariate Analyse | Multivariate analysis | Faktorenanalyse | Factor analysis | Schätzung | Estimation | Aktienindex | Stock index | USA | United States | 1995-2004 |
| Extent: | Online-Ressource, 17 p., text ill |
|---|---|
| Series: | Working paper. - London : [Verlag nicht ermittelbar], ISSN 1473-0278, ZDB-ID 2128344-8. - Vol. 506 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat reader |
| Other identifiers: | hdl:10419/62869 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001920657