Weber, Enzo - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
proposes specifying ARCH-type models for both the idiosyncratic innovations and a common factor, so that the model structure … to enter the common factor rather than the segment-specific shocks. …-type models for both the idiosyncratic
innovations and a common factor, so that the model structure can be identified through …