Statistical Aspects of ARCH and Scholastic Volatility Likelihood-Based Inference for Cointegration of Some Non-Stationary Time Series Forecasting in Macroeconomics Longitudinal Panel Data: An Overview of Current Methodology

This paper offers a new estimator of volatility's common component of a return. This estimator is obtained by applying a procedure based on the generalized dynamic factor model to the observations on squared returns. A Monte–Carlo study is conducted to evaluate the performance of the proposed estimator.

Time series models : in econometrics, finance and other fields

Citations

Estimate of a volatility's common component in ARSV models: a simulation study

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