Generalized dynamic factor models and volatilities: recovering the market volatility shocks

Publisher: John Wiley & Sons Inc

E-ISSN: 1368-423x|19|1|C33-C60

ISSN: 1368-4221

Source: THE ECONOMETRICS JOURNAL, Vol.19, Iss.1, 2016-02, pp. : C33-C60

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Abstract