Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Carlos Trucíos, João H.G. Mazzeu, Marc Hallin, Luiz K. Hotta, Pedro L. Valls Pereira, Mauricio Zevallos
| Year of publication: |
[2019]
|
|---|---|
| Authors: | Trucíos, Carlos ; Mazzeu, João H. G. ; Hallin, Marc ; Hotta, Luiz K. ; Pereira, Pedro L. Valls ; Zevallos, Mauricio |
| Publisher: |
Brussels, Belgium : ECARES |
| Subject: | Dimension reduction | Large panels | High-dimensional time series | Minimum variance portfolio | Volatility | Multivariate GARCH | Volatilität | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Korrelation | Correlation | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Prognoseverfahren | Forecasting model | Multivariate Analyse | Multivariate analysis |
freely available
| Extent: | 1 Online-Ressource (circa 33 Seiten) Illustrationen |
|---|---|
| Series: | ECARES working paper. - Brussels, ZDB-ID 2771005-1. - Vol. 2019, 14 (June 2019) |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Other identifiers: | hdl:2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/288066 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012064776