Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - Swiss National Centre of Competence in Research North … - 2010
We propose a simple but effective estimation procedure to extract the level and the volatilitydynamics of a latent macroeconomic factor from a panel of observable indicators. Our approachis based on a multivariate conditionally heteroskedastic exact factor model that cantake into account the...