Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
Year of publication: |
2009
|
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Authors: | Alessi, Lucia ; Barigozzi, Matteo ; Capasso, Marco |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | Prognoseverfahren | Inflation | Volatilität | ARCH-Modell | Faktorenanalyse | Modellierung | Conditional Covariance | Dynamic Factor Models | Inflation forecasting | multivariate GARCH | Volatility Forecasting |
Series: | ECB Working Paper ; 1115 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 627340873 [GVK] hdl:10419/153549 [Handle] RePEc:ecb:ecbwps:20091115 [RePEc] |
Classification: | C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications |
Source: |
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Alessi, Lucia, (2009)
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