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Identification, estimation and testing of conditionally heteroskedastic factor models

Enrique Sentana () and Gabriele Fiorentini ()

Journal of Econometrics, 2001, vol. 102, issue 2, 143-164

Date: 2001
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Related works:
Working Paper: Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model (1997)
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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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