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21-057/III - Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence


  • Authors
    Francisco Blasques, Vrije Universiteit Amsterdam; Enzo D'Innocenzo, University of Bologna; Siem Jan Koopman, Vrije Universiteit Amsterdam
  • Publication date
    June 28, 2021
  • Keywords
    Financial econometrics, observation-driven models, conditional volatility, common factor
  • JEL
    C32, C52, C58