A stochastic variance factor model for large datasets and an application to S&P data
Year of publication: |
2004
|
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Authors: | Cipollini, Andrea ; Kapetanios, George |
Publisher: |
London : Queen Mary University of London, Department of Economics |
Subject: | Stochastischer Prozess | Volatilität | Multivariate Analyse | Faktorenanalyse | Schätzung | Aktienindex | USA | Stochastic volatility, Factor models, Principal components |
Series: | Working Paper ; 506 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 379287447 [GVK] hdl:10419/62869 [Handle] |
Classification: | C32 - Time-Series Models ; C33 - Models with Panel Data ; G12 - Asset Pricing |
Source: |
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