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