Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models (Q4687540)
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scientific article; zbMATH DE number 6952450
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| English | Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models |
scientific article; zbMATH DE number 6952450 |
Statements
Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models (English)
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12 October 2018
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vast dimensions
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factor models
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long memory
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principal components
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low-dimensional maximum likelihood
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skewness
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heavy tails
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0.91617316
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0.91617316
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0.8950302
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0.87919796
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0.87749493
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0.8679141
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0.8674195
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0.8668232
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0.8668232
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