Generalized dynamic factor models and volatilities : recovering the market volatility shocks

Matteo Barigozzi; Marc Hallin

Year of publication:	2014
Authors:	Barigozzi, Matteo ; Hallin, Marc
Publisher:	Brussels : ECARES
Subject:	Volatility \| Dynamic Factor Models \| Block Structure \| Volatilität \| Theorie \| Theory \| Schock \| Shock \| Zeitreihenanalyse \| Time series analysis \| Faktorenanalyse \| Factor analysis \| Konjunktur \| Business cycle \| Schätzung \| Estimation

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