Browsing Congressos / RP by Title "On the robustness of the principal volatility components"

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    • On the robustness of the principal volatility components 

      Trucíos Maza, Carlos César; Hotta, Luiz Koodi; Pereira, Pedro L. Valls
      2018-03
      In 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 ...