An EM Algorithm for Conditionally Heteroskedastic Factor Models
Antonis Demos () and
Enrique Sentana ()
Working Papers from Centro de Estudios Monetarios Y Financieros-
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)
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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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