Estimating and forecasting large panels of volatilities with approximate dynamic factor models
Year of publication: |
2015
|
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Authors: | Luciani, Matteo ; Veredas, David |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 34.2015, 3, p. 163-176
|
Subject: | realized volatilities | vast dimensions | factor models | long memory | forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Panel | Panel study | Schätzung | Estimation | Modellierung | Scientific modelling |
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