Travail de recherche/Working paper
| Titre: |
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| Auteur: | Hallin, Marc; Trucíos, Carlos |
| Statut de publication: | Publié, 2020-12 |
| series: | ECARES Working Papers, 2020-50 |
| Sujet CREF: | Econométrie et méthodes statistiques : théorie et applications |
| Sujet JEL: | Econometric and Statistical Methods: General |
| Multiple or Simultaneous Equation Models: Time-Series Models | |
| Forecasting and Other Model Applications | |
| Financial Forecasting and Simulation | |
| Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure | |
| Volumes/pages: | 25 p. |
| Mots-clés: | conditional covariance |
| high-dimensional time series | |
| large panels | |
| risk measures | |
| volatility | |
| Langue: | Anglais |
| Identificateurs: | RePEc:eca:wpaper:2013/315983 |
