A stochastic variance factor model for large datasets and an application to S&P data

The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We suggest the use of the principal component methodology of Stock and Watson [Stock, J.H., Watson, M.W., 2002. Macroeconomic forecasting using diffusion indices. Journal of Business and Ec...

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Veröffentlicht in:	Economics letters 2008-07, Vol.100 (1), p.130-134
Hauptverfasser:	Cipollini, A., Kapetanios, G.
Format:	Artikel
Sprache:	eng
Schlagworte:	C32 C33 Factor analysis Factor models Financial research G12 Principal components Stochastic volatility Stock prices
Online-Zugang:	Volltext
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