Identification, estimation and testing of conditionally heteroskedastic factor models

DOI10.1016/S0304-4076(01)00051-3zbMath0977.62111OpenAlexW3121542497WikidataQ128018416 ScholiaQ128018416MaRDI QIDQ5942680

Gabriele Fiorentini, Enrique Sentana

Publication date: 24 January 2002

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00051-3

zbMATH Keywords

volatilityarbitrage pricing theory modelslikelihood estimationsimultaneous equationsvector autoregressions

Mathematics Subject Classification ID

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Cites Work

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• Identification, estimation and testing of conditionally heteroskedastic factor models

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