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~isPartOf:"Discussion paper / Tinbergen Institute"
~person:"D'Innocenzo, Enzo"
~subject:"ARCH model"
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D'Innocenzo, Enzo
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Common and idiosyncratic conditional volatility factors : theory and empirical evidence
Blasques, Francisco
;
D'Innocenzo, Enzo
;
Koopman, Siem Jan
-
2021
-
This version: June 21, 2021
dimensionality. The relatively simple structure of the model leads to simple computations for the
estimation
of parameters and signal …
Persistent link: https://www.econbiz.de/10012591559
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