Generalized dynamic factor models and volatilities: estimation and forecasting (Q1676377): Difference between revisions

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+Improved penalization for determining the number of factors in approximate factor models
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+Modeling and Forecasting Realized Volatility
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+Multivariate Stochastic Volatility: A Review
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+Determining the Number of Factors in Approximate Factor Models
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+Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
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+Generalized dynamic factor models and volatilities: recovering the market volatility shocks
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+Generalized autoregressive conditional heteroscedasticity
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+The common and specific components of dynamic volatility
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+A long-run pure variance common features model for the common volatilities of the Dow Jones
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+Large Covariance Estimation by Thresholding Principal Orthogonal Complements
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+Risks of large portfolios
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+The Generalized Dynamic Factor Model
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+Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
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+Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
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+Q4807277
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+The general dynamic factor model: one-sided representation results
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+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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+ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
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+Factor models in high-dimensional time series: A time-domain approach
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+Determining the Number of Factors in the General Dynamic Factor Model
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+Dynamic factors in the presence of blocks
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+Multivariate Stochastic Variance Models
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+Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
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+Volatility forecast comparison using imperfect volatility proxies
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+Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
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+Multivariate GARCH Models
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+Forecasting Using Principal Components From a Large Number of Predictors
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+Threshold heteroskedastic models
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