Events and Meetings of Italian Statistical Society, Advances in Latent Variables - Methods, Models and Applications

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Fast indirect estimation of latent factor models with conditional heteroskedasticity
Giorgio Calzolari, Gian Piero Aielli, Gabriele Fiorentini

Last modified: 2013-06-14

Abstract


A large latent factor model, in which the volatilities of common and idiosyncratic factors are conditionally heteroskedastic, is considered. We investigate the performance of computationally simple indirect estimators based on auxiliary models that do not require the Kalman filter implementation.


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