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Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach

Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - 2019

Persistent link: https://www.econbiz.de/10012064776

Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach

Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 40-52

Persistent link: https://www.econbiz.de/10013540629

Virtual Historical Simulation for estimating the conditional VaR of large portfolios

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 217 (2020) 2, pp. 356-380

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Large-dimensional portfolio selection with a high-frequency-based dynamic factor model

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Realized quantity extended conditional autoregressive value-at-risk models

Götz, Pit - In: Journal of risk : JOR 26 (2023) 2, pp. 33-63

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Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87

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Managing portfolio risk during crisis times : a dynamic conditional correlation perspective

Zhang, Hanyu; Dufour, Alfonso - In: The quarterly review of economics and finance 94 (2024), pp. 241-251

Persistent link: https://www.econbiz.de/10014494675

Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management

So, Mike Ka-pui; Chan, Thomas W. C.; Chu, Amanda M. Y. - In: Journal of econometrics 227 (2022) 1, pp. 151-167

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Score driven exponentially weighted moving average and value-at-risk forecasting

Lucas, André; Zhang, Xin - 2014

dynamics adapts to the non-normal nature of financial data, which helps to robustify the volatility estimates. The new model … volatility forecasting of stock returns and exchange rates. …

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Comparison of Value at Risk (VaR) multivariate forecast models

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