Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
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More about this item
KeywordsConditional Covariance; dynamic factor models; inflation forecasting; multivariate GARCH; Volatility 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-2009-12-11 (All new papers)
- NEP-ECM-2009-12-11 (Econometrics)
- NEP-ETS-2009-12-11 (Econometric Time Series)
- NEP-FOR-2009-12-11 (Forecasting)
- NEP-ORE-2009-12-11 (Operations Research)
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