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~isPartOf:"ECARES working paper"
~subject:"ARCH-Modell"
~type_genre:"Aufsatzsammlung"
~type_genre:"Graue Literatur"
~type_genre:"Lehrbuch"
~type_genre:"Textbook"
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Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach
Hallin, Marc
;
Trucios, Carlos
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2020
Persistent link: https://www.econbiz.de/10012437084
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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
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3
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
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2018
Persistent link: https://www.econbiz.de/10012064840
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