Pages that link to "Item:Q5942680"
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The following pages link to Identification, estimation and testing of conditionally heteroskedastic factor models (Q5942680):
Displaying 43 items.
- Sparse Bayesian time-varying covariance estimation in many dimensions (Q117775) (← links)
- A long-run pure variance common features model for the common volatilities of the Dow Jones (Q291621) (← links)
- Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (Q295688) (← links)
- Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks (Q472754) (← links)
- Estimation and properties of a time-varying GQARCH(1,1)-M model (Q642451) (← links)
- Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514) (← links)
- Method of moments estimation of GO-GARCH models (Q737949) (← links)
- On asymptotic theory for multivariate GARCH models (Q842922) (← links)
- Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models (Q1037440) (← links)
- Identification of factor models by behavioural and subspace methods (Q1128450) (← links)
- ARCH modeling in finance. A review of the theory and empirical evidence (Q1185104) (← links)
- Testing for identification in SVAR-GARCH models (Q1656455) (← links)
- On identifying structural VAR models via ARCH effects (Q1695560) (← links)
- A spectral EM algorithm for dynamic factor models (Q1754525) (← links)
- The effect of conditional heteroskedasticity on common statistical procedures for means and variances (Q1773038) (← links)
- Explaining the single factor bias of arbitrage pricing models in finite samples (Q1934712) (← links)
- A scalar dynamic conditional correlation model: structure and estimation (Q1989915) (← links)
- Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty (Q2236881) (← links)
- Stock return and cash flow predictability: the role of volatility risk (Q2347721) (← links)
- The uncertainties about the relationships risk-return-volatility in the Spanish stock market (Q2430228) (← links)
- Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models (Q2431710) (← links)
- Factor representing portfolios in large asset markets (Q2439044) (← links)
- Identification theory for high dimensional static and dynamic factor models (Q2512530) (← links)
- Estimating a class of triangular simultaneous equations models without exclusion restrictions (Q2630158) (← links)
- Likelihood-based specification tests for dynamic factor models (Q2926308) (← links)
- Weighted scatter estimation method of the GO-GARCH models (Q2930903) (← links)
- An EM-Based Viterbi Approximation Algorithm for Mixed-State Latent Factor Models (Q3532764) (← links)
- The relation between conditionally heteroskedastic factor models and factor GARCH models (Q4415851) (← links)
- A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks (Q5080547) (← links)
- Testing identification via heteroskedasticity in structural vector autoregressive models (Q5083239) (← links)
- (Q5196655) (← links)
- Factor and Idiosyncratic Empirical Processes (Q5242464) (← links)
- Factor Stochastic Volatility in Mean Models: A GMM Approach (Q5485106) (← links)
- Stability conditions for heteroscedastic factor models with conditionally autoregressive betas (Q5495694) (← links)
- Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model (Q5864358) (← links)
- Identification, estimation and testing of conditionally heteroskedastic factor models (Q5942680) (← links)
- Robust high-dimensional alpha test for conditional time-varying factor models (Q6044817) (← links)
- Monetary policy, external instruments, and heteroskedasticity (Q6067210) (← links)
- Identification of vector autoregressive models with nonlinear contemporaneous structure (Q6572632) (← links)
- Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities (Q6623182) (← links)
- Specification testing for conditional moment restrictions under local identification failure (Q6646161) (← links)
- Specification tests for non-Gaussian structural vector autoregressions (Q6664656) (← links)
- Consistent causal inference for high-dimensional time series (Q6664676) (← links)
