We propose a multi-level dynamic factor model to represent the commonalities in the hourly evolution of realized volatilities of several exchange rates. The model assumes a global factor active during the twenty-four hours of the day, plus four intermittent factors, associated with markets...

Dynamic factor models (DFMs), which assume the existence of a small number of unobserved underlying factors common to a large number of variables, are very popular among empirical macroeconomists. Factors can be extracted using either nonparametric principal components or parametric Kalman...

The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities.We...

In this study, we propose a new bootstrap strategy to obtain prediction intervals for autoregressive integrated moving-average processes. Its main advantage over other bootstrap methods previously proposed for autoregressive integrated processes is that variability due to parameter estimation...

In this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitory components with QGARCH disturbances. This model distinguishes whether the long-run or short-run components are heteroscedastic. Furthermore, the uncertainty associated with these components may...