Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks
| Year of publication: |
2014-11
|
|---|---|
| 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 |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | Published by: The text is part of a series ECARES Working Papers Number ECARES 2014-52 25 pages long |
| Classification: | C32 - Time-Series Models |
| Source: |
Persistent link: https://www.econbiz.de/10010961592