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~person:"Blasques, Francisco"
~subject:"common factor"
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common factor
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Blasques, Francisco
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Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence
Blasques, Francisco
;
D'Innocenzo, Enzo
;
Koopman, Siem Jan
-
2021
is based on an observation-driven time series model that is simple and parsimonious. The
common
factor
is modeled by a …
Persistent link: https://www.econbiz.de/10012606023
Saved in:
2
Common and idiosyncratic conditional volatility factors : theory and empirical evidence
Blasques, Francisco
;
D'Innocenzo, Enzo
;
Koopman, Siem Jan
-
2021
-
This version: June 21, 2021
is based on an observation-driven time series model that is simple and parsimonious. The
common
factor
is modeled by a …
Persistent link: https://www.econbiz.de/10012591559
Saved in:
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