Sentana, Enrique; Calzolari, Giorgio; Fiorentini, Gabriele - Centro de Estudios Monetarios y Financieros (CEMFI) - 2004
We derive indirect estimators of multivariate conditionally heteroskedastic factor models in which the volatilities of the latent factors depend on their past values. Specifically, we calibrate the analytical score of a Kalman-filter approximation, taking into account the inequality constraints...