Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach

Marc Hallin, Luiz Hotta, João H. G Mazzeu, Carlos Trucíos (), Pedro Valls Pereira and Mauricio Zevallos

No 2019-14, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: Based on a General Dynamic Factor Model with infinite-dimensional factor space, we develop a new estimation and forecasting procedures for conditional covariance matrices in high-dimensional time series. The performance of our approach is evaluated via Monte Carlo experiments, outperforming many alternative methods. The new procedure is used to construct minimum variance portfolios for a high-dimensional panel of assets. The results are shown to achieve better out-of-sample portfolio performance than alternative existing procedures.

Keywords: Dimension reduction; Large panels; High-dimensional time series; Minimum variance portfolio; Volatility; Multivariate GARCH (search for similar items in EconPapers)
Pages: 32 p.
Date: 2019-06
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published by:

Downloads: (external link)
https://dipot.ulb.ac.be/dspace/bitstream/2013/2880 ... IOS_VALLSPEREIRA.pdf Œuvre complète ou partie de l'œuvre (application/pdf)

Related works:
Journal Article: Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach (2022)
Working Paper: Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eca:wpaper:2013/288066

Ordering information: This working paper can be ordered from
http://hdl.handle.ne ... lb.ac.be:2013/288066

Access Statistics for this paper

More papers in Working Papers ECARES from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Pauwels ().