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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; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 40-52

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

Market liquidity as dynamic factors

Hallin, Marc; Mathias, Charles; Pirotte, Hugues; … - In: Journal of econometrics 163 (2011) 1, pp. 42-50

Persistent link: https://www.econbiz.de/10009270591

Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach

Hallin, Marc; Trucios, Carlos - 2020

Persistent link: https://www.econbiz.de/10012437084

Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals

Barigozzi, Matteo; Hallin, Marc - In: Journal of econometrics 216 (2020) 1, pp. 4-34

Persistent link: https://www.econbiz.de/10012439634

Time-varying general dynamic factor models and the measurement of financial connectedness

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano; … - In: Journal of econometrics 222 (2021) 1,2, pp. 324-343

Persistent link: https://www.econbiz.de/10012619427

Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios : A General Dynamic Factor Model Approach

Hallin, Marc; Trucíos, Carlos - 2021

Beyond their importance from the regulatory policy point of view, Value-at-Risk (VaR) and Expected Shortfall (ES) play an important role in risk management, portfolio allocation, capital level requirements, trading systems, and hedging strategies. Unfortunately, due to the curse of...

Persistent link: https://www.econbiz.de/10013242339