Generalized dynamic factor models and volatilities: estimation and forecasting
type: Item
instance of: scholarly article
title: Generalized dynamic factor models and volatilities: estimation and forecasting
zbMATH Open document ID: 1377.62194
author: Matteo Barigozzi
author: Marc Hallin
published in: Journal of Econometrics
publication date: 2017-11-07T00:00:00Z
full work available at URL: http://eprints.lse.ac.uk/67455/
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 6803384
zbMATH Keywords: volatility
zbMATH Keywords: dynamic factor models
zbMATH Keywords: GARCH models
zbMATH Keywords: high-dimensional time series
zbMATH Keywords: multivariate GARCH
MaRDI profile type: Publication
OpenAlex ID: W1910333351
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DOI: 10.1016/J.JECONOM.2017.08.010
description: scientific article; zbMATH DE number 6803384