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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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High-dimensional functional factor models
Hallin, Marc; Nisol, Gilles; Tavakoli, Shahin - 2019
Persistent link: https://www.econbiz.de/10012064780
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Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019
Persistent link: https://www.econbiz.de/10012064799
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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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Autoregressive models with time-dependent coefficients a comparison between several approaches
Azrak, Rajae; Mélard, Guy - 2017
Persistent link: https://www.econbiz.de/10012098089
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Asymptomatic properties of conditional least-squares estimators for array time series
Azrak, Rajae; Mélard, Guy - 2017
Persistent link: https://www.econbiz.de/10012098101
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Quantile spectral analysis for locally stationary time series
Birr, Stefan; Volgushev, Stanislav; Kley, Tobias; … - 2015
Persistent link: https://www.econbiz.de/10011622344
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Networks, dynamic factors, and the volatility analysis of high-dimensional financial series
Barigozzi, Matteo; Hallin, Marc - 2015
Persistent link: https://www.econbiz.de/10011622692
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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