Generalized dynamic factor models and volatilities: recovering the market volatility shocks

DOI10.1111/ectj.12047OpenAlexW2144963328MaRDI QIDQ5093930

Matteo Barigozzi, Marc Hallin

Publication date: 2 August 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/60980/1/Barigozzi_Generalized_Dynamic_Factor_Models_and_Volatilities.pdf

zbMATH Keywords

volatilitydynamic factor modelsblock structure

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (9)

A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio ⋮ Generalized dynamic factor models and volatilities: estimation and forecasting ⋮ Nearest comoment estimation with unobserved factors ⋮ Parametric estimation of long memory in factor models ⋮ Factor models for high‐dimensional functional time series I: Representation results ⋮ Factor models for high‐dimensional functional time series II: Estimation and forecasting ⋮ Extracting Conditionally Heteroskedastic Components using Independent Component Analysis ⋮ Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction ⋮ Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals

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