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~person:"D'Innocenzo, Enzo"
~subject:"Volatilität"
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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
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