Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks
Year of publication: |
2014-11
|
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Authors: | Hallin, Marc ; Barigozzi, Matteo |
Institutions: | European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management |
Subject: | volatility | dynamic factor models | block structure |
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