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 |
