Factor Stochastic Volatility in Mean Models: A GMM Approach (Q5485106)
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scientific article; zbMATH DE number 5050406
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Factor Stochastic Volatility in Mean Models: A GMM Approach |
scientific article; zbMATH DE number 5050406 |
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Factor Stochastic Volatility in Mean Models: A GMM Approach (English)
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28 August 2006
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asset pricing
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common features
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conditional factor models
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generalized method of moments
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multivariate conditional heteroskedasticity
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multiperiod conditional moment restrictions
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stochastic volatility
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