Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures

Recognition Program

Authors: Matteo Barigozzi, Christian Brownlees, Giampiero M. Gallo and David Veredas

Journal of Econometrics, Vol. 182, No 2, 364--384, January, 2014
This paper is acknowledged by the Barcelona School of Economics Recognition Program