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Estimating stable latent factor models by indirect inference

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2018

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https://doi.org/10.1016/j.jeconom.2018.03.014
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Journal of Econometrics. 2018, 205(1), pp. 280-301. ISSN 0304-4076. eISSN 1872-6895. Available under: doi: 10.1016/j.jeconom.2018.03.014

Zusammenfassung

Cross-sections of financial returns are characterized by common underlying factors and exhibit fat tails that may be captured by -stable distributions. This paper focuses on estimating factor models with independent latent factors and idiosyncratic noises featuring a multivariate -stable distribution constant over time (static factor models) or a time-varying conditional multivariate -stable distribution (GARCH factor models). Although the simulation of such a distribution is straightforward, the estimation of its parameters encounters difficulties. These difficulties are overcome in this paper by implementing the indirect inference estimation method with the multivariate Student’s as the auxiliary distribution.

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ISO 690CALZOLARI, Giorgio, Roxana CHIRIAC, 2018. Estimating stable latent factor models by indirect inference. In: Journal of Econometrics. 2018, 205(1), pp. 280-301. ISSN 0304-4076. eISSN 1872-6895. Available under: doi: 10.1016/j.jeconom.2018.03.014
BibTex
@article{Calzolari2018-07Estim-42883,
  year={2018},
  doi={10.1016/j.jeconom.2018.03.014},
  title={Estimating stable latent factor models by indirect inference},
  number={1},
  volume={205},
  issn={0304-4076},
  journal={Journal of Econometrics},
  pages={280--301},
  author={Calzolari, Giorgio and Chiriac, Roxana}
}
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