Generalized dynamic factor models and volatilities
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...
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| Γλώσσα: | English |
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2021
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| Διαθέσιμο Online: | http://hdl.handle.net/10889/15495 |
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nemertes-10889-154952022-09-05T13:57:31Z Generalized dynamic factor models and volatilities Υποδείγματα γενικευμένου δυναμικού παράγοντα και αστάθεια Αντωνόπουλος, Φώτιος Antonopoulos, Fotios 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 main issues, the analysis of large panel of finance indexes are important. Therefore, new methods are observed for the analysis of high dimension data in the literature of financial econometrics. The main research objective of our thesis is to present a new method in order to produce volatility forecasts. 2021-11-02T10:36:33Z 2021-11-02T10:36:33Z 2021-08-30 http://hdl.handle.net/10889/15495 en application/pdf |
| institution |
UPatras |
| collection |
Nemertes |
| language |
English |
| topic |
Generalized dynamic factor models High-dimensional time series Volatility GARCH models Γενικευμένα παραγοντικά μοντέλα Πολυδιάστατες χρονοσειρές |
| spellingShingle |
Generalized dynamic factor models High-dimensional time series Volatility GARCH models Γενικευμένα παραγοντικά μοντέλα Πολυδιάστατες χρονοσειρές Αντωνόπουλος, Φώτιος Generalized dynamic factor models and volatilities |
| description |
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 main issues, the analysis of large panel of finance indexes are important. Therefore, new methods are observed for the analysis of
high dimension data in the literature of financial econometrics. The main research
objective of our thesis is to present a new method in order to produce volatility
forecasts. |
| author2 |
Antonopoulos, Fotios |
| author_facet |
Antonopoulos, Fotios Αντωνόπουλος, Φώτιος |
| author |
Αντωνόπουλος, Φώτιος |
| author_sort |
Αντωνόπουλος, Φώτιος |
| title |
Generalized dynamic factor models and volatilities |
| title_short |
Generalized dynamic factor models and volatilities |
| title_full |
Generalized dynamic factor models and volatilities |
| title_fullStr |
Generalized dynamic factor models and volatilities |
| title_full_unstemmed |
Generalized dynamic factor models and volatilities |
| title_sort |
generalized dynamic factor models and volatilities |
| publishDate |
2021 |
| url |
http://hdl.handle.net/10889/15495 |
| work_keys_str_mv |
AT antōnopoulosphōtios generalizeddynamicfactormodelsandvolatilities AT antōnopoulosphōtios ypodeigmatagenikeumenoudynamikouparagontakaiastatheia |
| _version_ |
1771297261522780160 |
