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An EM Algorithm for Conditionally Heteroskedastic Factor Models

Antonis Demos () and Enrique Sentana ()

Working Papers from Centro de Estudios Monetarios Y Financieros-

Abstract: This paper discusses the application of the EM algorithm for maximum likelihood estimation of factor models with conditional heteroskedasticity in the common factors.

Keywords: STATISTICS (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Date: 1996
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Related works:
Journal Article: An EM Algorithm for Conditionally Heteroscedastic Factor Models (1998)
Working Paper: An EM Algorithm for Conditionally Heteroskedastic Factor Models (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:cemfdt:9615

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