Generalized dynamic factor models and volatilities: estimation and forecasting
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Cites work
- A long-run pure variance common features model for the common volatilities of the Dow Jones
- ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
- Determining the Number of Factors in Approximate Factor Models
- Determining the Number of Factors in the General Dynamic Factor Model
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- Dynamic factors in the presence of blocks
- Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
- Factor models in high-dimensional time series: A time-domain approach
- Forecasting Using Principal Components From a Large Number of Predictors
- Generalized autoregressive conditional heteroscedasticity
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks
- scientific article; zbMATH DE number 1911755 (Why is no real title available?)
- Improved penalization for determining the number of factors in approximate factor models
- Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Modeling and Forecasting Realized Volatility
- Multivariate GARCH Models
- Multivariate Stochastic Variance Models
- Multivariate Stochastic Volatility: A Review
- Risks of large portfolios
- The common and specific components of dynamic volatility
- The general dynamic factor model: one-sided representation results
- The Generalized Dynamic Factor Model
- Threshold heteroskedastic models
- Volatility forecast comparison using imperfect volatility proxies
Cited in
(37)- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
- Nearest comoment estimation with unobserved factors
- Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
- Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach
- The generalized dynamic factor model consistency and rates
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- A long-run pure variance common features model for the common volatilities of the Dow Jones
- The common and specific components of dynamic volatility
- Dynamic factor long memory volatility
- Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
- A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks
- Extracting conditionally heteroskedastic components using independent component analysis
- scientific article; zbMATH DE number 7307121 (Why is no real title available?)
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks
- Generalized dynamic factor models and volatilities: estimation and forecasting
- A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering
- Factor Stochastic Volatility in Mean Models: A GMM Approach
- Editors' introduction
- Factor models for high‐dimensional functional time series I: Representation results
- Factor models for high‐dimensional functional time series II: Estimation and forecasting
- Inferential theory for generalized dynamic factor models
- Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
- A conversation with Marc Hallin
- FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
- On the statistical analysis of high-dimensional factor models
- Sequential estimation of multivariate factor stochastic volatility models
- Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
- The dynamic, the static, and the weak: factor models and the analysis of high-dimensional time series
- Common factors and common shocks: a tale of three (close) signal extraction procedures
- Marc Hallin: a commented bibliography (from 1972 to 2023)
- Multiplicative factor model for volatility
- Functional dynamic factor models with application to yield curve forecasting
- Bayesian Dynamic Matrix Factor Models
- Frequency-Band Estimation of the Number of Factors
- Factor multivariate stochastic volatility models of high dimension
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