Peter Boswijk, H.; van der Weide, Roy - In: Journal of Econometrics 163 (2011) 1, pp. 118-126
We propose a new estimation method for the factor loading matrix in generalized orthogonal GARCH (GO-GARCH) models. The method is based on eigenvectors of suitably defined sample autocorrelation matrices of squares and cross-products of returns. The method is numerically more attractive than...