An em algorithm for conditionally heteroscedastic factor models

Journal of Business and Economic Statistics

Volumn 16, Issue 3, 1998, Pages 357-361

  Demos, Antonis ^a   Sentana, Enrique ^b  

^a ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS   (Greece)

^b CEMFI   (Spain)

Author keywords

Asset pricing; Kalman filter; Maximum likelihood; Stock returns; Volatility

Indexed keywords

EID: 0032354283     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1998.10524775     Document Type: Article

References (17)

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