The relation between conditionally heteroskedastic factor models and factor GARCH models

• 1 December 1998
• journal article
• Published by Oxford University Press (OUP) in The Econometrics Journal
• Vol. 1  (2) , 1-9
• https://doi.org/10.1111/1368-423x.12014

Abstract

Keywords

• ASSET PRICING
• FACTOR MODELS
• MULTIVARIATE ARCH
• VOLATILITY

All Related Versions

• Version 1, RePEc (Unconfirmed version)