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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

On the Robustness of the Principal Volatility Components

Trucíos, Carlos - 2018

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...

Persistent link: https://www.econbiz.de/10012924424

On the robustness of the principal volatility components

Trucíos, Carlos; Hotta, Luiz K.; Pereira, Pedro L. Valls - In: Journal of empirical finance 52 (2019), pp. 201-219

Persistent link: https://www.econbiz.de/10012171112

Modelos de volatilidade estocástica com deformação temporal : um estudo empírico para o índice Ibovespa

Ziegelmann, Flávio A. - In: Pesquisa e planejamento econômico : PPE 27 (1997) 2, pp. 353-375

Persistent link: https://www.econbiz.de/10001240326

Alternative models to extract asset volatility: a comparative study

Pereira, Pedro L. Valls (contributor) - In: Revista de econometria 19 (1999) 1, pp. 57-109

Persistent link: https://www.econbiz.de/10001609694

Speculative Bubbles and Contagion : Analysis of Volatility's Clusters During the Dotcom Bubble Based on the Dynamic Conditional Correlation Model

Herwarth Kohn, Maximilian-Benedikt - 2017

Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by Engle and Sheppard (2001) as an econometrical - and on the...

Persistent link: https://www.econbiz.de/10012951740

Analysis of the volatility's dependency structure during the subprime crisis

Arruda, Bruno P.; Pereira, Pedro L. Valls - In: Applied economics 45 (2013) 34/36, pp. 5031-5045

Persistent link: https://www.econbiz.de/10010225760

Modeling and forecasting realized volatility : evidence from Brazil

Wink Junior, Marcos Vinicio; Pereira, Pedro L. Valls - In: Brazilian review of econometrics : BRE ; the review of … 31 (2011) 2, pp. 315-337

Persistent link: https://www.econbiz.de/10010402885

Small sample properties of GARCH estimates and persistence

Hwang, Soosung; Pereira, Pedro L. Valls - In: The European journal of finance 12 (2006) 6/7, pp. 473-494

Persistent link: https://www.econbiz.de/10003382813