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Search: subject:"volatility factor"
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Identifying the volatility risk price through the leverage effect
Cheng, Xu
;
Renault, Eric
;
Sangrey, Paul
-
2024
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This version: April 23, 2024
Persistent link: https://www.econbiz.de/10014580927
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A stochastic variance factor model for large datasets and an application to S&P data
Cipollini, Andrea
;
Kapetanios, George
-
2004
suggest use of the principal component methodology of Stock and Watson (2002) for the stochastic
volatility
factor
model …
Persistent link: https://www.econbiz.de/10010289033
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