Factor Stochastic Volatility in Mean Models: A GMM Approach
Year of publication: |
2006
|
---|---|
Authors: | Doz, Catherine ; Renault, Eric |
Published in: |
Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 25.2006, 2-3, p. 275-309
|
Publisher: |
Taylor & Francis Journals |
Subject: | Asset pricing | Common features | Conditional factor models | Generalized method of moments | Multivariate conditional heteroskedasticity | Multiperiod conditional moment restrictions | Stochastic volatility |
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