Similar Search Results - EconBiz

Generalized dynamic factor models and volatilities : estimation and forecasting

Barigozzi, Matteo; Hallin, Marc - 2015

Persistent link: https://www.econbiz.de/10011289224

Semiparametrically efficient R-estimation for dynamic location-scale models

Hallin, Marc; La Vecchia, Davide - 2014

Persistent link: https://www.econbiz.de/10010418928

Do financial variables help forecasting inflation and real activity in the euro area?

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - In: Journal of monetary economics 50 (2003) 6, pp. 1243-1255

Persistent link: https://www.econbiz.de/10001799316

Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios : A General Dynamic Factor Model Approach

Hallin, Marc; Trucíos, Carlos - 2021

Beyond their importance from the regulatory policy point of view, Value-at-Risk (VaR) and Expected Shortfall (ES) play an important role in risk management, portfolio allocation, capital level requirements, trading systems, and hedging strategies. Unfortunately, due to the curse of...

Persistent link: https://www.econbiz.de/10013242339

Robustness and the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting

Trucíos, Carlos; Mazzeu, João H. G.; Hotta, Luiz K.; … - In: International journal of forecasting 37 (2021) 4, pp. 1520-1534

Persistent link: https://www.econbiz.de/10013274311

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

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

Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals

Barigozzi, Matteo; Hallin, Marc - 2018

Persistent link: https://www.econbiz.de/10012064840

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

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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