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Conditionally Heteroskedastic Factor Models
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Book Synopsis Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models by : Gabriele Fiorentini
Download or read book Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models written by Gabriele Fiorentini and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the effects of dynamic heteroskedasticity on statistical factor analysis. We show that identification problems are alleviated when variation in factor variances is accounted for. Our results apply to dynamic APT models and other structural models. We also find that traditional ML estimation of unconditional variance parameters remains consistent if the factor loadings are identified from the unconditional distribution, but their standard errors must be robustified. We develop a simple preliminary LM test for ARCH effects in the common factors, and discuss two-step consistent estimation of the conditional variance parameters. Finally, we conduct a detailed simulation exercise.
Book Synopsis Identification of multivariate conditionally heteroskedastic factor models by : Enrique Sentana
Download or read book Identification of multivariate conditionally heteroskedastic factor models written by Enrique Sentana and published by . This book was released on 1992 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models by : Enrique Sentana Iváñez
Download or read book The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models written by Enrique Sentana Iváñez and published by . This book was released on 1997 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Conditionally Heteroskedastic Factor Models by : Catherine Doz
Download or read book Conditionally Heteroskedastic Factor Models written by Catherine Doz and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Conditionally Heteroskedastic Factor Models : Identification and Instrumental Variables Estimation by : Renault, Éric
Download or read book Conditionally Heteroskedastic Factor Models : Identification and Instrumental Variables Estimation written by Renault, Éric and published by Montréal : CIRANO. This book was released on 2004 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An em-based algorith for conditionally heteroskedastic factor models by : Enrique Sentana
Download or read book An em-based algorith for conditionally heteroskedastic factor models written by Enrique Sentana and published by . This book was released on 1992 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Relation Between Conditionally Heteroskedastic Factor Models and Factor Garch Models by : Enrique Sentana
Download or read book The Relation Between Conditionally Heteroskedastic Factor Models and Factor Garch Models written by Enrique Sentana and published by . This book was released on 1997 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Indirect Estimation of Conditionally Heteroskedastic Factor Models by : Enrique Sentana
Download or read book Indirect Estimation of Conditionally Heteroskedastic Factor Models written by Enrique Sentana and published by . This book was released on 2004 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An em-based algorithm for conditionally heteroskedastic factor models by : Antonis Demos
Download or read book An em-based algorithm for conditionally heteroskedastic factor models written by Antonis Demos and published by . This book was released on 1992 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An EM Algorithm for Conditionally Heteroskedastic Factor Models by : Antonis Demos
Download or read book An EM Algorithm for Conditionally Heteroskedastic Factor Models written by Antonis Demos and published by . This book was released on 1996 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The likelihood function of a conditionally heteroskedastic factor model with heywood cases by : Enrique Sentana
Download or read book The likelihood function of a conditionally heteroskedastic factor model with heywood cases written by Enrique Sentana and published by . This book was released on 1994 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dynamic Factor Models by : Siem Jan Koopman
Download or read book Dynamic Factor Models written by Siem Jan Koopman and published by Emerald Group Publishing. This book was released on 2016-01-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Book Synopsis The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases by : Enrique Sentana
Download or read book The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases written by Enrique Sentana and published by . This book was released on 1994 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Contemporaneous Aggregation of GARCH Processes by : Paolo Zaffaroni
Download or read book Contemporaneous Aggregation of GARCH Processes written by Paolo Zaffaroni and published by . This book was released on 2000 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Unobserved Components and Time Series Econometrics by : Siem Jan Koopman
Download or read book Unobserved Components and Time Series Econometrics written by Siem Jan Koopman and published by Oxford University Press. This book was released on 2015 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents original and up-to-date studies in unobserved components (UC) time series models from both theoretical and methodological perspectives.
Book Synopsis Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors by : Lucia Alessi
Download or read book Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors written by Lucia Alessi and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Computational Science - ICCS 2006 by : Vassil N. Alexandrov
Download or read book Computational Science - ICCS 2006 written by Vassil N. Alexandrov and published by Springer. This book was released on 2006-05-10 with total page 1128 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is Volume IV of the four-volume set LNCS 3991-3994 constituting the refereed proceedings of the 6th International Conference on Computational Science, ICCS 2006. The 98 revised full papers and 29 revised poster papers of the main track presented together with 500 accepted workshop papers were carefully reviewed and selected for inclusion in the four volumes. The coverage spans the whole range of computational science.
