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My bibliography Save this paperDisentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures
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- Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
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Citations
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Cited by:
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More about this item
Keywords
Vector Multiplicative Error Model; Seminonparametric Estimation; Volatility;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G01 - Financial Economics - - General - - - Financial Crises
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2014-03-08 (Banking)
- NEP-ETS-2014-03-08 (Econometric Time Series)
- NEP-FOR-2014-03-08 (Forecasting)
- NEP-RMG-2014-03-08 (Risk Management)
Statistics
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