Silva, Afonso Gonçalves da; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2007
Asset returns are frequently assumed to be determined by one or more commonfactors. We consider a bivariate factor model, where the unobservable commonfactor and idiosyncratic errors are stationary and serially uncorrelated, but havestrong dependence in higher moments. Stochastic volatility...