Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
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Publication:6586883
DOI10.1080/07350015.2021.1996380zbMATH Open1542.62144MaRDI QIDQ6586883FDOQ6586883
Authors: Carlos Trucíos, João Henrique G. Mazzeu, Marc Hallin, Luiz Koodi Hotta, Pedro L. Valls Pereira, Mauricio Zevallos 
Publication date: 13 August 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
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