Generalized dynamic factor models and volatilities: estimation and forecasting
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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)
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