Generalized dynamic factor models and volatilities

• Main Author: Αντωνόπουλος, Φώτιος
• Other Authors: Antonopoulos, Fotios
• Language: English
• Published: 2021
• Subjects: Generalized dynamic factor models; High-dimensional time series; Volatility; GARCH models; Γενικευμένα παραγοντικά μοντέλα; Πολυδιάστατες χρονοσειρές

In recent decades, financial market data has become available with increasingly higher frequency and higher dimension. This rapidly growing amount of financial data has created many research opportunities and challenges. In finance, where risk management and portfolio optimization are one of the...