Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models

DOI10.1002/for.2325zbMath1397.62555OpenAlexW3121652360MaRDI QIDQ4687540

David Veredas, Matteo Luciani

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2325

zbMATH Keywords

heavy tailslong memoryskewnessprincipal componentsfactor modelslow-dimensional maximum likelihoodvast dimensions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Stochastic models in economics (91B70)

Related Items (6)

Dynamic factor long memory volatility ⋮ Generalized dynamic factor models and volatilities: estimation and forecasting ⋮ Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance ⋮ Nearest comoment estimation with unobserved factors ⋮ Parametric estimation of long memory in factor models ⋮ Approximate state space modelling of unobserved fractional components

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