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volatilité stochastique
multivariate conditional heteroskedasticity
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Asset pricing
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Autoregressive conditional heteroskedasticity
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Common features
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Conditional factor models
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Generalized Method of Moments.
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Multivariate conditional heteroskedasticity
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asset pricing
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conditional factor models
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hétéroscédasticité conditionnelle multivariée
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modèles conditionnels à facteurs
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moment structure of GARCH
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multiperiod conditional moment restrictions
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restrictions de moments conditionnels avec retards
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Doz, Catherine
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Renault, Éric
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation
Doz, Catherine
;
Renault, Éric
-
Centre Interuniversitaire de Recherche en Analyse des …
-
2004
This paper provides a semiparametric framework for modelling
multivariate
conditional
heteroskedasticity
. First, we …
Persistent link: https://www.econbiz.de/10005100682
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