A stochastic variance factor model for large datasets and an application to S&P data
Year of publication: |
2008
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Authors: | Cipollini, Andrea ; Kapetanios, George |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 100.2008, 1, p. 130-134
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Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Multivariate Analyse | Multivariate analysis | Faktorenanalyse | Factor analysis | Schätzung | Estimation | Aktienindex | Stock index | USA | United States | 1995-2004 |
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