When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models
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- Type
- article
- Published
- 2011-09-19
- Cited by
- 0
- References
- 34
- OpenAlex
- https://openalex.org/W1853247429
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:55330198
Keywords
Heteroscedasticity, Estimator, Econometrics, Bivariate analysis, Monte Carlo method
References
- Identification, Estimation And Testing Of Conditionally Heteroskedastic Factor Models
- Generalized method of moments with many weak moment conditions
- OLIVE: A SIMPLE METHOD FOR ESTIMATING BETAS WHEN FACTORS ARE MEASURED WITH ERROR
- ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS
- Multivariate Simultaneous Generalized ARCH
- A Capital Asset Pricing Model with Time-Varying Covariances
- A Critique of the Asset Pricing Theory''s Tests: Part I
- Inferring the rank of a matrix
- CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
- Estimating the returns to education for Australian youth via rank-order instrumental variables
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model
- Properties of Moments of a Family of GARCH Processes
- Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
- GARCH-Based Identification and Estimation of Triangular Systems
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Risk, Return, and Equilibrium: Empirical Tests
- A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
- Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables
- A Unified Approach to Robust, Regression-Based Specification Tests
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