A conditionally heteroskedastic independent factor model with an application to financial stock returns Articles uri icon

publication date

  • January 2012

start page

  • 70

end page

  • 93

issue

  • 1

volume

  • 28

international standard serial number (ISSN)

  • 0169-2070

electronic international standard serial number (EISSN)

  • 1872-8200

abstract

keywords

  • ica; multivariate garch; factor models; forecasting volatility