Factor models are well established as promising alternatives to obtain covariance matrices of portfolios containing a very large number of assets. In this paper, we consider a novel multivariate factor GARCH speci cation with a flexible modeling strategy for the common factors, for the...

We assess the extent to which the imposition of a no-arbitrage restriction on the dynamic Nelson-Siegel model helps obtaining more accurate forecasts of the term structure. For that purpose, we provide an empirical application based on a large panel of Brazilian interest rate future contracts...