Ghalanos, Alexios; Rossi, Eduardo; Urga, Giovanni - Dipartimento di Scienze Economiche e Aziendali, … - 2012
In this paper, we propose a novel Independent Factor Autoregressive Conditional Density (IFACD) model able to generate time-varying higher moments using an independent factor setup. Our proposed framework incorporates dynamic estimation of higher comovements and feasible portfolio representation...