Browsing FGV EESP - Textos para Discussão / Working Paper Series by Author "Zevallos, Mauricio"
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Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach
Trucíos Maza, Carlos César; Mazzeu, João H. G.; Hallin, Marc; Hotta, Luiz Koodi; Pereira, Pedro L. Valls; Zevallos, Mauricio
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 ...


