Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
From MaRDI portal
Publication:6586883
Cites work
- A forecasting performance comparison of dynamic factor models based on static and dynamic methods
- A full-factor multivariate GARCH model
- Asymptotic theory for multivariate GARCH processes.
- Determining the Number of Factors in Approximate Factor Models
- Determining the Number of Factors in the General Dynamic Factor Model
- Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
- Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
- Dynamic factor multivariate GARCH model
- Dynamic orthogonal components for multivariate time series
- Factor models in high-dimensional time series: A time-domain approach
- Fitting Vast Dimensional Time-Varying Covariance Models
- Forecasting Using Principal Components From a Large Number of Predictors
- GARCH models. Structure, statistical inference and financial applications
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
- Generalized dynamic factor models and volatilities: estimation and forecasting
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks
- High-dimensional covariance matrix estimation
- High-dimensional covariance matrix estimation in approximate factor models
- 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 Dynamic Covariance Matrices
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
- On asymptotic theory for multivariate GARCH models
- On loss functions and ranking forecasting performances of multivariate volatility models
- Optimal dimension reduction for high-dimensional and functional time series
- Principal component analysis for second-order stationary vector time series
- Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk
- The Generalized Dynamic Factor Model
- The Model Confidence Set
- The general dynamic factor model: one-sided representation results
- Time series in high dimensions. The general dynamic factor model
This page was built for publication: Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6586883)
