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The common and specific components of dynamic volatility

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Cited by:

  1. Dufrénot, Gilles & Mignon, Valérie & Péguin-Feissolle, Anne, 2011. "The effects of the subprime crisis on the Latin American financial markets: An empirical assessment," Economic Modelling, Elsevier, vol. 28(5), pages 2342-2357, September.
  2. Najam Iqbal & Muhammad Saqib Manzoor & Muhammad Ishaq Bhatti, 2021. "Asymmetry and Leverage with News Impact Curve Perspective in Australian Stock Returns’ Volatility during COVID-19," JRFM, MDPI, vol. 14(7), pages 1-15, July.
  3. Matteo Barigozzi, 2023. "Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models," Papers 2307.09864, arXiv.org, revised Sep 2023.
  4. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
  5. Andreou, Elena & Ghysels, Eric, 2021. "Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors," Journal of Econometrics, Elsevier, vol. 220(2), pages 366-398.
  6. Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2022. "Next generation models for portfolio risk management: An approach using financial big data," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(3), pages 765-787, September.
  7. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
  8. Matteo Barigozzi & Marc Hallin, 2016. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 33-60, February.
  9. M. Hashem Pesaran & Paolo Zaffaroni, 2009. "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series 2857, CESifo.
  10. M. Hashem Pesaran & Paolo Zaffaroni, 2008. "Optimal Asset Allocation with Factor Models for Large Portfolios," CESifo Working Paper Series 2326, CESifo.
  11. Engle, Robert F. & Campos-Martins, Susana, 2023. "What are the events that shake our world? Measuring and hedging global COVOL," Journal of Financial Economics, Elsevier, vol. 147(1), pages 221-242.
  12. Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
  13. Kim, Donggyu & Fan, Jianqing, 2019. "Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction," Journal of Econometrics, Elsevier, vol. 208(2), pages 395-417.
  14. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series," LEM Papers Series 2006/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  15. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Working Papers ECARES ECARES 2015-34, ULB -- Universite Libre de Bruxelles.
  16. Soosung Hwang & Steve Satchell, 2005. "GARCH model with cross-sectional volatility: GARCHX models," Applied Financial Economics, Taylor & Francis Journals, vol. 15(3), pages 203-216.
  17. Eric Renault & Thijs Van Der & Bas J M Werker, 2023. "Arbitrage Pricing Theory for Idiosyncratic Variance Factors," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1403-1442.
  18. L. Vanessa Smith & Takashi Yamagata, 2008. "Firm Level Volatility-Return Analysis using Dynamic Panels," Discussion Papers 08/09, Department of Economics, University of York.
  19. Brownlees, Christian T., 2019. "Hierarchical GARCH," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 17-27.
  20. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
  21. Byun, Sung Je, 2016. "The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 162-180.
  22. Umberto Triacca & Fulvia Focker, 2014. "Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 235-254, October.
  23. Xinyu Song, 2019. "Large Volatility Matrix Prediction with High-Frequency Data," Papers 1907.01196, arXiv.org, revised Sep 2019.
  24. Ghysels, Eric, 2014. "Factor Analysis with Large Panels of Volatility Proxies," CEPR Discussion Papers 10034, C.E.P.R. Discussion Papers.
  25. García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2011. "Forecasting electricity prices and their volatilities using Unobserved Components," Energy Economics, Elsevier, vol. 33(6), pages 1227-1239.
  26. Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2021. "Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data," Papers 2102.12783, arXiv.org, revised Feb 2022.
  27. Lübbers, Johannes & Posch, Peter N., 2016. "Commodities' common factor: An empirical assessment of the markets' drivers," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 28-40.
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