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Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
16 references·6 citing·37 second hop
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (2008)Indirect estimation of large conditionall…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications (2000)State-Space Models with Regim…State-Space Models with Regime Switching (1999)State-Space Models with Regim…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Statistical aspects of ARCH and stochastic volatility (1996)Statistical aspects of ARCH a…Volatility and Links between National Stock Markets (1994)Volatility and Links between …Estimating nonlinear time-series models using simulated vector autoregressions (1993)Estimating nonlinear time-ser…Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)The dynamics of exchange rate…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Factor Analysis as a Statistical Method. (1973)Factor Analysis as a Statisti…Factor Analysis as a Statistical Method. (1972)Factor Analysis as a Statisti…Multivariate GARCH models: a surveyMultivariate GARCH models: a …M&A rumors about unlisted firms (2021)M&A rumors about unlisted fir…Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals (2020)Generalized dynamic factor mo…Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (2018)Factor GARCH-Itô models for h…Generalized dynamic factor models and volatilities: estimation and forecasting (2017)Generalized dynamic factor mo…Tests for serial dependence in static, non-Gaussian factor models (2015)Tests for serial dependence i…Factor Stochastic Volatility in Mean Models: A GMM Approach (2006)Factor Stochastic Volatility …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)5 Stochastic volatility (1996)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Comparing Predictive Accuracy (1994)Modeling and Forecasting Realized Volatility (2001)Testing Density Forecasts, With Applications to Risk Management (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The distribution of realized stock return volatility (2001)Asymmetric correlations of equity portfolios (2002)Default Risk in Equity Returns (2004)The Econometrics of Financial Markets (2012)Time Series Analysis: Forecasting and Control (1977)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Econometric Analysis of Cross Section and Panel Data (2001)Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle (1999)A Manifesto on Psychology as Idiographic Science: Bringing the Person Back Into Scientific Psychology, This Time Forever (2004)Modeling the price dynamics of CO2 emission allowances (2008)Inferential Theory for Factor Models of Large Dimensions (2003)Handbook on Constructing Composite Indicators (2005)Panel Data Models With Interactive Fixed Effects (2009)Evolving Post-World War II U.S. Inflation Dynamics (2001)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
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  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 1972Factor Analysis as a Statistical Method.1,471 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1999State-Space Models with Regime Switching1,304 cited
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  • 1996Statistical aspects of ARCH and stochastic volatility749 cited
  • 1973Factor Analysis as a Statistical Method.730 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model723 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • 1993Estimating nonlinear time-series models using simulated vector autoregressions

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686 cited
  • 1994Volatility and Links between National Stock Markets679 cited
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    • 2015Tests for serial dependence in static, non-Gaussian factor models31 cited
    • 2006Factor Stochastic Volatility in Mean Models: A GMM Approach29 cited