Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
Matteo Barigozzi; Christian Brownlees; Giampiero M. Gallo; David Veredas
| Year of publication: |
2014
|
|---|---|
| Authors: | Barigozzi, Matteo ; Brownlees, Christian ; Gallo, Giampiero M. ; Veredas, David |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 182.2014, 2, p. 364-384
|
| Subject: | Vector multiplicative error model | Seminonparametric estimation | Volatility | Volatilität | Schätzung | Estimation | Schätztheorie | Estimation theory | Panel | Panel study | Börsenkurs | Share price | Messung | Measurement |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010497747