کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097175 | 1376574 | 2008 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
We derive indirect estimators of conditionally heteroskedastic factor models in which the volatilities of common and idiosyncratic factors depend on their past unobserved values by calibrating the score of a Kalman-filter approximation with inequality constraints on the auxiliary model parameters. We also propose alternative indirect estimators for large-scale models, and explain how to apply our procedures to many other dynamic latent variable models. We analyse the small sample behaviour of our indirect estimators and several likelihood-based procedures through an extensive Monte Carlo experiment with empirically realistic designs. Finally, we apply our procedures to weekly returns on the Dow 30 stocks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 146, Issue 1, September 2008, Pages 10-25
Journal: Journal of Econometrics - Volume 146, Issue 1, September 2008, Pages 10-25
نویسندگان
Enrique Sentana, Giorgio Calzolari, Gabriele Fiorentini,