Narrow search
Showing 1 - 7 of 7
Cover Image
Identification of global and local shocks in international financial markets via general dynamic factor models
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - In: Journal of financial econometrics 17 (2019) 3, pp. 462-494
Persistent link: https://www.econbiz.de/10012054816
Cover Image
Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo; Hallin, Marc - In: The econometrics journal 19 (2016) 1, pp. 33-60
Persistent link: https://www.econbiz.de/10011487491
Cover Image
R-estimation in semiparametric dynamic location-scale models
Hallin, Marc; La Vecchia, Davide - In: Journal of econometrics 196 (2017) 2, pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
Cover Image
Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo; Hallin, Marc - In: Journal of econometrics 201 (2017) 2, pp. 307-321
Persistent link: https://www.econbiz.de/10011920497
Cover Image
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano; … - In: Journal of econometrics 222 (2021) 1,2, pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Cover Image
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo; Hallin, Marc - In: Journal of econometrics 216 (2020) 1, pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
Cover Image
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