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  • Search: subject:"Stochastic volatility, Factor models, Principal components"
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Aktienindex 1 Faktorenanalyse 1 Multivariate Analyse 1 Schätzung 1 Stochastic volatility, Factor models, Principal components 1 Stochastischer Prozess 1 USA 1 Volatilität 1
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Working Paper 1
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English 1
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Cipollini, Andrea 1 Kapetanios, George 1
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EconStor 1
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A stochastic variance factor model for large datasets and an application to S&P data
Cipollini, Andrea; Kapetanios, George - 2004
The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We suggest use of the principal component methodology of Stock and Watson (2002) for the stochastic volatility factor model discussed by Harvey, Ruiz, and Shephard (1994). The method is...
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