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subject:"Time series analysis"
type_genre:"Aufsatz im Buch"
~accessRights:"restricted"
~person:"Hallin, Marc"
~type_genre:"Article in journal"
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Hallin, Marc
Gil-Alaña, Luis A.
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1
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
Saved in:
2
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
3
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
Saved in:
4
R-estimation in semiparametric dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
Saved in:
5
Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 307-321
Persistent link: https://www.econbiz.de/10011920497
Saved in:
6
Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo
;
Hallin, Marc
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 33-60
Persistent link: https://www.econbiz.de/10011487491
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