The common and specific components of dynamic volatility
Year of publication: |
2006
|
---|---|
Authors: | Connor, Gregory ; Korajczyk, Robert A. ; Linton, Oliver |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 132.2006, 1, p. 231-255
|
Subject: | ARCH-Modell | ARCH model | Faktorenanalyse | Factor analysis | Volatilität | Volatility | Kapitaleinkommen | Capital income | Theorie | Theory | USA | United States | 1926-2000 |
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