Barigozzi, Matteo; Brownlees, Christian T.; Gallo, … - Dipartimento di Statistica, Informatica, Applicazioni … - 2010
When observed over a large panel, measures of risk (such as realized volatilities) usually exhibit a secular trend … decomposition of each risk measure into a common systematic and an idiosyncratic component, while allowing for contemporaneous … dependence in the innovation process. As a consequence, we can assess how much of the current asset risk is due to a system wide …
