Generalized Dynamic Factor Model + GARCH <br> Exploiting Multivariate Information for Univariate Prediction
Year of publication: |
2006-05-13
|
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Authors: | Alessi, Lucia ; Barigozzi, Matteo ; Capasso, Marco |
Institutions: | Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna |
Subject: | Dynamic Factors | GARCH | Volatility Forecasting |
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