Browsing Congressos / RP by Author "Trucíos Maza, Carlos César"
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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 ...


