Stability conditions for heteroscedastic factor models with conditionally autoregressive betas
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Publication:5495694
DOI10.1111/j.1467-9892.2010.00706.xzbMath1294.91193OpenAlexW2151827500MaRDI QIDQ5495694
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Publication date: 6 August 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00706.x
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) Statistical methods; risk measures (91G70)
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