Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Year of publication: |
2016
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Authors: | Barigozzi, Matteo ; Hallin, Marc |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 19.2016, 1, p. 33-60
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Subject: | Block structure | Dynamic factor models | Volatility | Volatilität | Schock | Shock | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Konjunktur | Business cycle | ARCH-Modell | ARCH model |
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