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.
Fast indirect estimation of latent factor models with conditional heteroskedasticity / Gian Piero Aielli; Giorgio Calzolari; Gabriele Fiorentini. - ELETTRONICO. - (2013), pp. 1-5. (Intervento presentato al convegno Advances in Latent Variables - Methods, Models and Applications tenutosi a Brescia - Department of Economics and Management nel June 19-21, 2013).
Fast indirect estimation of latent factor models with conditional heteroskedasticity
CALZOLARI, GIORGIO;FIORENTINI, GABRIELE
2013
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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