Generalized dynamic factor models and volatilities: estimation and forecasting
From MaRDI portal
Publication:1676377
DOI10.1016/j.jeconom.2017.08.010zbMath1377.62194OpenAlexW1910333351MaRDI QIDQ1676377
Publication date: 7 November 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/67455/
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
Related Items
Dynamic factor long memory volatility, Nearest comoment estimation with unobserved factors, 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, Extracting Conditionally Heteroskedastic Components using Independent Component Analysis, Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors, Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction, Editors' introduction, Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
Cites Work
- Unnamed Item
- A long-run pure variance common features model for the common volatilities of the Dow Jones
- The common and specific components of dynamic volatility
- Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
- Risks of large portfolios
- Improved penalization for determining the number of factors in approximate factor models
- Volatility forecast comparison using imperfect volatility proxies
- The general dynamic factor model: one-sided representation results
- Dynamic factors in the presence of blocks
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Generalized autoregressive conditional heteroscedasticity
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
- Factor models in high-dimensional time series: A time-domain approach
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
- Multivariate GARCH Models
- Multivariate Stochastic Variance Models
- Forecasting Using Principal Components From a Large Number of Predictors
- Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks
- Determining the Number of Factors in the General Dynamic Factor Model
- Modeling and Forecasting Realized Volatility
- Determining the Number of Factors in Approximate Factor Models
- Multivariate Stochastic Volatility: A Review
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
- The Generalized Dynamic Factor Model
- Threshold heteroskedastic models