Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures

Authors: Matteo Barigozzi, Christian Brownlees, Giampiero M. Gallo and David Veredas.
Journal of Econometrics, Vol. 182, No. 2, 364--384, December 2015.

DOI: 10.1016/j.jeconom.2014.05.017

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