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Barigozzi, M., & Hallin, M. (2016). generalized dynamic factor models and volatilities: recovering the market volatility shocks. Econometrics journal, 19(1), C33–C60. http://access.bl.uk/ark:/81055/vdc_100032398266.0x000026
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Barigozzi, M., & Hallin, M. (2016). generalized dynamic factor models and volatilities: recovering the market volatility shocks. Econometrics journal, 19(1), C33–C60. http://access.bl.uk/ark:/81055/vdc_100032398266.0x000026