A long-run pure variance common features model for the common volatilities of the Dow Jones
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Publication:291621
DOI10.1016/J.JECONOM.2005.01.021zbMath1337.62326OpenAlexW1968045640MaRDI QIDQ291621
Robert F. Engle, Juri Marcucci
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.021
factor modelsreduced rank regressioncanonical correlationscommon featuresfactor ARCHpure variance common features
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)
Related Items (5)
Variance clustering improved dynamic conditional correlation MGARCH estimators ⋮ Generalized dynamic factor models and volatilities: estimation and forecasting ⋮ On the univariate representation of BEKK models with common factors ⋮ Modelling comovements of economic time series: a selective survey ⋮ Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
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