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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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Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo; Hallin, Marc - 2018
Persistent link: https://www.econbiz.de/10012064840
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Macro-driven VaR forecasts : from very high to very low-frequency data
Dominicy, Yves; Vander Elst, Harry - 2015
Persistent link: https://www.econbiz.de/10011628481
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Semiparametrically efficient R-estimation for dynamic location-scale models
Hallin, Marc; La Vecchia, Davide - 2014
Persistent link: https://www.econbiz.de/10010418928
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On the robustness of the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting
Trucíos, Carlos; Mazzeu, João H. G.; Hotta, Luiz K.; … - 2019
Persistent link: https://www.econbiz.de/10012179660
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Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2019
Persistent link: https://www.econbiz.de/10012205777
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Cash flow news and stock price dynamics
Pettenuzzo, Davide; Sabbatucci, Riccardo; Timmermann, Allan - 2019
Persistent link: https://www.econbiz.de/10012206550
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A similarity-based approach for macroeconomic forecasting
Marcellino, Massimiliano; Kapetanios, George; … - 2020
Persistent link: https://www.econbiz.de/10012214041
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Forecasting in the presence of instabilities : how do we know whether models predict well and how to improve them
Rossi, Barbara - 2020
Persistent link: https://www.econbiz.de/10012214103
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Forecasting US inflation using bayesian nonparametric models
Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, … - 2023
Persistent link: https://www.econbiz.de/10014326677