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Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks

Matteo Barigozzi and Marc Hallin ()

No ECARES 2014-52, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Keywords: volatility; dynamic factor models; block structure (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fmk
Date: 2014-11
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Related works:
Journal Article: Generalized dynamic factor models and volatilities: recovering the market volatility shocks (2016) Downloads
Working Paper: Generalized dynamic factor models and volatilities: recovering the market volatility shocks (2015) Downloads
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