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Persistent link: https://www.econbiz.de/10005285335
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...
Persistent link: https://www.econbiz.de/10005192318
Persistent link: https://www.econbiz.de/10005192711