Generalized dynamic factor models and volatilities: estimation and forecasting-Reference-Cited by-同舟云学术

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Generalized dynamic factor models and volatilities: estimation and forecasting

Published:2017-12 Issue:2 Volume:201 Page:307-321
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Barigozzi Matteo,Hallin Marc

Funder

IAP research network

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference48 articles.

1. Estimation and Forecasting in Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors. Working Paper 1115;Alessi,2009

2. Improved penalization for determining the number of factors in approximate static factor models;Alessi;Statist. Probab. Lett.,2010

3. Range-Based estimation of stochastic volatility models;Alizadeh;J. Finance,2002

4. Modeling and forecasting realized volatility;Andersen;Econometrica,2003

5. Dynamic factor value-at-risk for large heteroskedastic portfolios;Aramonte;J. Bank. Finance,2013

Cited by 37 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Factor-augmented forecasting in big data;International Journal of Forecasting;2024-10

2. On the statistical analysis of high-dimensional factor models;Statistical Papers;2024-07-01

3. A Conversation With Marc Hallin;International Statistical Review;2024-06-10

4. Factor Modeling for Volatility;2024

5. Dynamic Factor Models: A Genealogy;Studies in Systems, Decision and Control;2024

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