Browsing FGV EESP - Textos para Discussão / Working Paper Series by Author "Hallin, Marc"
Now showing items 1-2 of 2
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Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach
2019-06Based on a General Dynamic Factor Model with infinite-dimensional factor space, we develop a new estimation and forecasting procedures for conditional covariance matrices in high-dimensional time series. The performance ... -
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting
2020-02General dynamic factor models have demonstrated their capacity to circumvent the curse of dimensionality in time series and have been successfully applied in many economic and financial applications. However, their performance ...
