Generalized dynamic factor models and volatilities: recovering the market volatility shocks
Author:
Affiliation:
1. Department of Statistics, London School of Economics, Houghton Street, London, WC2A 2AE, UK
2. ECARES, Université Libre de Bruxelles CP114/4 B‐1050, Bruxelles, Belgium
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics
Link
http://academic.oup.com/ectj/article-pdf/19/1/C33/27680443/ectj0c33.pdf
Reference39 articles.
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3. Multivariate stochastic volatility: a review;Asai;Econometric Reviews,2006
4. Determining the number of factors in approximate factor models;Bai;Econometrica,2002
5. Determining the number of primitive shocks in factor models;Bai;Journal of Business and Economic Statistics,2007
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