Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting
Matteo Barigozzi and
Marc Hallin ()
No ECARES 2015-22, Working Papers ECARES from ULB -- Universite Libre de Bruxelles
Keywords: volatility; dynamic factor models; GARCH models (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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Journal Article: Generalized dynamic factor models and volatilities: estimation and forecasting (2017)
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