likelihood inference. We apply the new model to a large panel of 100 U.S. stocks over the period 2001{2014. The proposed multi-factor … structure appears crucial for parsimoniously describing the dependence dynamics in high-dimensional stock return data …

Correlated Effects estimator and the Principal Component estimator. We also develop two tests for the null of no factor structure …

and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in … returns and volatility and to commodity market integration with the equity market. We find evidence of a factor structure in … daily commodity futures returns. However, the factor structure in daily commodity futures volatility is even stronger than …

Castagnetti, Rossi and Trapani (2014) propose two max-type statistics to test for the presence of a factor structure in …