Forecasting Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
More about this item
KeywordsDynamic factors; multivariate GARCH; covolatility forecasting; inflation forecasting;
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-03-14 (All new papers)
- NEP-ECM-2009-03-14 (Econometrics)
- NEP-ETS-2009-03-14 (Econometric Time Series)
- NEP-FOR-2009-03-14 (Forecasting)
- NEP-ORE-2009-03-14 (Operations Research)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eca:wpaper:2009_005. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Benoit Pauwels). General contact details of provider: http://edirc.repec.org/data/arulbbe.html .
We have no references for this item. You can help adding them by using this form .