Silva, Afonso Gonçalves da; Robinson, Peter M. - In: Econometric Theory 24 (2008) 05, pp. 1207-1253
Asset returns are frequently assumed to be determined by one or more common factors. We consider a bivariate factor model where the unobservable common factor and idiosyncratic errors are stationary and serially uncorrelated but have strong dependence in higher moments. Stochastic volatility...