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We propose a multiplicative dynamic factor structure for the conditional modelling of the variances of an N-dimensional vector of financial returns. We identify common and idiosyncratic conditional volatility factors. The econometric framework is based on an observation-driven time series model...
Persistent link: https://www.econbiz.de/10012591559
consistent with financial theory, for a decomposition of the time-series in trend and bubble components, and for meaningful real …
Persistent link: https://www.econbiz.de/10014380706