Identification, estimation and testing of conditionally heteroskedastic factor models

Journal of Econometrics

Volumn 102, Issue 2, 2001, Pages 143-164

  Sentana, Enrique ^a   Fiorentini, Gabriele ^b  

^a CEMFI   (Spain)

^b UNIVERSITY OF ALICANTE   (Spain)

Author keywords

APT; Likelihood estimation; Simultaneous equations; Vector autoregressions; Volatility

Indexed keywords

EID: 0000908969     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00051-3     Document Type: Article

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