Media type: E-Book Title: Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks Contributor: Sentana, Enrique [Author]; Calzolari, Giorgio [Author]; Fiorentini, Gabriele [Author] imprint: 2008 Language: English DOI: https://doi.org/10.1016/j.jeconom.2008.06.001 Identifier: Keywords: ARCH ; Idiosyncratic risk ; Inequality constraints ; Kalman filter ; Sequential estimators ; Simulation estimators ; Volatility Origination: Footnote: Postprint begutachtet (peer reviewed) In: Journal of Econometrics ; 146 (2008) 1 ; 10- Access State: Open Access