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Search: subject:"high-dimensional time series"
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Capital income
Time series analysis
33
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High-dimensional time series
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panel data
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Hallin, Marc
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Mazzeu, João H. G.
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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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
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
Saved in:
2
Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach
Hallin, Marc
;
Trucios, Carlos
-
2020
Persistent link: https://www.econbiz.de/10012437084
Saved in:
3
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
Saved in:
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