Sentana, Enrique; Calzolari, Giorgio; Fiorentini, Gabriele - In: Journal of Econometrics 146 (2008) 1, pp. 10-25
We derive indirect estimators of conditionally heteroskedastic factor models in which the volatilities of common and idiosyncratic factors depend on their past unobserved values by calibrating the score of a Kalman-filter approximation with inequality constraints on the auxiliary model...