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  • 标题:Indirect estimation of conditionally heteroskedastic factor models
  • 本地全文:下载
  • 作者:Enrique Sentana ; Giorgio Calzolari ; Gabriele Fiorentini
  • 期刊名称:CEMFI Working Papers / Centro de Estudios Monetarios y Financieros, Madrid
  • 出版年度:2004
  • 卷号:2004
  • 出版社:Centro de Estudios Monetarios y Financieros, Madrid
  • 摘要:

    We derive indirect estimators of multivariate conditionally heteroskedastic factor models in which the volatilities of the latent factors depend on their past values. Specifically, we calibrate the analytical score of a Kalman-filter approximation, taking into account the inequality constraints on the auxiliary model parameters. We also study the determinants of the biases in the parameters of this approximation, and its quality. Moreover, we propose sequential indirect estimators that can handle models with large cross-sectional dimensions. Finally, we analyse the small sample behaviour of our indirect estimators and the approximate maximum likelihood procedures through an extensive Monte Carlo experiment.

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