Fiorentini, Gabriele; Calzolari, Giorgio; Sentana, Enrique - Rimini Centre for Economic Analysis (RCEA) - 2007
We derive indirect estimators of conditionally heteroskedastic factor models in which the volatilities of common and idiosyncratic factors depend on their past unobserved values by calibrating the score of a Kalman-filter approximation with inequality constraints on the auxiliary model...