The common and specific components of dynamic volatility
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Publication:291638
DOI10.1016/J.JECONOM.2005.01.029zbMath1337.62123OpenAlexW3121480739MaRDI QIDQ291638
Robert A. Korajczyk, Gregory Connor, Oliver B. Linton
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://eprints.maynoothuniversity.ie/8433/1/1-s2.0-S0304407605000473-main.pdf
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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