An EM Algorithm for Conditionally Heteroskedastic Factor Models.

This paper discusses the application of the EM algorithm for maximum likelihood estimation of factor models with conditional heteroskedasticity in the common factors.

MoreLess

Year of publication:	1996
Authors:	Demos, A ; Sentana, E
Institutions:	Centro de Estudios Monetarios y Financieros (CEMFI)
Subject:	STATISTICS

More details

Series:	Centro de Estudios Monetarios Y Financieros-.
Type of publication:	Book / Working Paper
Notes:	31 pages
Classification:	C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005625784