Generalized Dynamic Factor Models and Volatilities: Recovering the Market Volatility Shocks

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Econometrics Seminar
University of Pennsylvania

3718 Locust Walk
309 McNeil Building

Philadelphia, PA
19104

United States

(Joint work with Marc Hallin)

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Matteo Barigozzi More on Matteo Barigozzi

Matteo Barigozzi

London School of Economics and Political Science

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