Blasques, Francisco; D'Innocenzo, Enzo; Koopman, Siem Jan - 2021 - This version: June 21, 2021
-dimensional vector of financial returns. We identify common and idiosyncratic conditional volatility factors. The econometric framework … dimensionality. The relatively simple structure of the model leads to simple computations for the estimation of parameters and signal … conditional volatility factor are investigated by means of a Monte Carlo study. Finally, we illustrate our approach with two …