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, and Mauricio Zevallos
| Year of publication: |
2023
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|---|---|
| Authors: | Trucíos, Carlos ; Mazzeu, João H. G. ; Hallin, Marc ; Hotta, Luiz K. ; Pereira, Pedro L. Valls ; Zevallos, Mauricio |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 41.2023, 1, p. 40-52
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| Subject: | Dimension reduction | High-dimensional time series | Large covariance matrix | Large panels | Minimum variance portfolio | Multivariate GARCH | Volatility | Volatilität | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Prognoseverfahren | Forecasting model | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2021.1996380 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013540629