Conditional Volatility Factors Archivi

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New paper on Common and idiosyncratic conditional volatility

June 22, 2024June 22, 2024 enzodinnocenzo

Our latest paper titled “Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices” has been published on

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Papers

New Working Paper on Common and Idiosyncratic Conditional Volatility Factors

August 31, 2022August 31, 2022 enzodinnocenzo

In our new working paper – with Francisco Blasques and Siem Jan Koopman – we propose a multiplicative dynamic factor

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