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Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
Sentana, Enrique; Calzolari, Giorgio; Fiorentini, Gabriele - In: Journal of econometrics 146 (2008) 1, pp. 10-25
Persistent link: https://www.econbiz.de/10003778191
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Estimating asymptotic standard errors and inconsistencies of impact multipliers in nonlinear econometric models
Bianchi, Carlo; Calzolari, Giorgio; Corsi, Paolo - In: Journal of econometrics 16 (1981) 3, pp. 277-294
Persistent link: https://www.econbiz.de/10001915685
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Estimating stable latent factor models by indirect inference
Calzolari, Giorgio; Halbleib, Roxana - In: Journal of econometrics 205 (2018) 1, pp. 280-301
Persistent link: https://www.econbiz.de/10012110265
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Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
Sentana, Enrique; Calzolari, Giorgio; Fiorentini, Gabriele - In: Journal of econometrics 146 (2008) 1, pp. 10-25
Persistent link: https://www.econbiz.de/10008109087
Cover Image
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
Sentana, Enrique; Calzolari, Giorgio; Fiorentini, Gabriele - In: Journal of econometrics 146 (2008) 1, pp. 10-26
Persistent link: https://www.econbiz.de/10008881139