Generalized dynamic factor models and volatilities : estimation and forecasting
Matteo Barigozzi; Marc Hallin
| Year of publication: |
2015
|
|---|---|
| Authors: | Barigozzi, Matteo ; Hallin, Marc |
| Publisher: |
Brussels : ECARES |
| Subject: | Volatility | Dynamic Factor Models | GARCH models | High-dimensional time series | Theorie | Theory | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Volatilität | Prognoseverfahren | Forecasting model |
| Extent: | Online-Ressource (23 S.) graph. Darst. |
|---|---|
| Series: | ECARES working paper. - Brussels, ZDB-ID 2771005-1. - Vol. 2015-22 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | hdl:2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/200436 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011289224