Based on a General Dynamic Factor Model with infinite-dimensional factor space and MGARCH common shocks, we develop new estimation and forecasting procedures for conditional covariance matrices in high-dimensional time series. The finite-sample performance of our approach is evaluated via Monte...

In this paper, we analyse the recent principal volatility components analysis procedure. The procedure overcomes several difficulties in modelling and forecasting the conditional covariance matrix in large dimensions arising from the curse of dimensionality. We show that outliers have a...

Asset allocation is important for diversifying risk and realizing gains in the financial market. It involves decisions taken under uncertainty based on statistical methods. Returns on financial assets generally present regime switching and there are different distributions of returns in bull and...

Depois do crescimento acelerado e continuo dos anos 70, a economia brasileira passou, na decada seguinte, por um periodo de grande instabilidade na sua taxa anual de crescimento. Este artigo investiga em que medida os periodos de estagnacao e expansao da economia do pais podem ser explicados por...