Browsing Rede de Pesquisa e Conhecimento Aplicado by Author "Hotta, Luiz Koodi"
Now showing items 1-1 of 1
-
On the robustness of the principal volatility components
Trucíos Maza, Carlos César; Hotta, Luiz Koodi; Pereira, Pedro L. Valls
2018-03In this paper, we analyse the recent principal volatility components analysis procedure. The procedure overcomes several diculties in modelling and forecasting the conditional covariance matrix in large dimensions arising ...


