Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks

Sentana, Enrique; Calzolari, Giorgio; Fiorentini, Gabriele

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@article{ Sentana2008,
 title = {Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks},
 author = {Sentana, Enrique and Calzolari, Giorgio and Fiorentini, Gabriele},
 journal = {Journal of Econometrics},
 number = {1},
 pages = {10-},
 volume = {146},
 year = {2008},
 doi = {https://doi.org/10.1016/j.jeconom.2008.06.001},
 urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-163968},
}