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~isPartOf:"Tinbergen Institute Discussion Paper 2021-057/III"
~person:"Koopman, Siem Jan"
~subject:"Estimation"
~subject:"Theory"
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Common and Idiosyncratic Conditional Volatility Factors : Theory and Empirical Evidence
Blasques, Francisco
;
D'Innocenzo, Enzo
;
Koopman, Siem Jan
-
2021
normal density and is robust to fat-tailed returns as it averages
information
over the cross-section of the observed N …
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