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Persistent link: https://www.econbiz.de/10005625757
We investigate several important inference issues for factor models with dynamic heteroskedasticity in the common factors. First, we show that such models are identified if we take into account the time-variation in the variances of the factors. Our results also apply to dynamic versions of the...
Persistent link: https://www.econbiz.de/10005625772
regression models when the conditional distribution is multivariate t. We also derive one-sided and two-sided LM tests for … tests for multivariate excess kurtosis, and show that they have power against lepkurtic alternatives. Finally, we analyse UK …
Persistent link: https://www.econbiz.de/10005475104