Arbeitspapier
Generalized dynamic factor model + GARCH exploiting multivariate information for univariate prediction
- Sprache
-
Englisch
- Erschienen in
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Series: LEM Working Paper Series; No. 2006/13
Bezug (was)
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
Dynamic Factors
GARCH
volatility forecasting
Prognoseverfahren
Multivariate Analyse
ARCH-Modell
Kapitaleinkommen
Aktienmarkt
USA
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
Dynamic Factors
GARCH
volatility forecasting
Prognoseverfahren
Multivariate Analyse
ARCH-Modell
Kapitaleinkommen
Aktienmarkt
USA
Beteiligte Personen und Organisationen
Alessi, Lucia
Barigozzi, Matteo
Capasso, Marco
Pisa: Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
Barigozzi, Matteo
Capasso, Marco
Pisa: Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
Erschienen
Pisa: Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
- Rechteinformation
-
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft
- Letzte Aktualisierung
-
18.10.2021, 08:57 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Alessi, Lucia
- Barigozzi, Matteo
- Capasso, Marco
- Pisa: Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
Entstanden
- Pisa: Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
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