Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Matteo Barigozzi and Marc Hallin
| Year of publication: |
2016
|
|---|---|
| Authors: | Barigozzi, Matteo ; Hallin, Marc |
| Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 19.2016, 1, p. 33-60
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| Subject: | Block structure | Dynamic factor models | Volatility | Volatilität | Schock | Shock | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Faktorenanalyse | Factor analysis | EU-Staaten | EU countries | Konjunktur | Business cycle |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/ectj.12047 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011487491