Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Model Approach

Econometrics and Statistics ◽

10.1016/j.ecosta.2021.04.006 ◽

2021 ◽

Author(s):

Marc Hallin ◽

Carlos Trucíos

Keyword(s):

At Risk ◽

Value At Risk ◽

Factor Model ◽

Expected Shortfall ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

General Dynamic ◽

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Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Model Approach

SSRN Electronic Journal ◽

10.2139/ssrn.3748736 ◽

2020 ◽

Author(s):

Marc Hallin ◽

Carlos César Trucíos Maza

Keyword(s):

At Risk ◽

Value At Risk ◽

Factor Model ◽

Expected Shortfall ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

General Dynamic ◽

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A dynamic factor model approach to incorporate Big Data in state space models for official statistics

Journal of the Royal Statistical Society Series A (Statistics in Society) ◽

10.1111/rssa.12626 ◽

2020 ◽

Author(s):

Caterina Schiavoni ◽

Franz Palm ◽

Stephan Smeekes ◽

Jan van den Brakel

Keyword(s):

Big Data ◽

State Space ◽

Factor Model ◽

State Space Models ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Official Statistics ◽

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How Does China's Tight Monetary Policy Affect the Inflation: A Structural Dynamic Factor Model Approach

2011 Fourth International Conference on Business Intelligence and Financial Engineering ◽

10.1109/bife.2011.67 ◽

2011 ◽

Author(s):

Bianling Ou ◽

Mingxi Wang ◽

Mingrong Wang

Keyword(s):

Monetary Policy ◽

Factor Model ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Structural Dynamic ◽

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Real-time GDP forecasting for Japan: A dynamic factor model approach

Journal of the Japanese and International Economies ◽

10.1016/j.jjie.2014.05.005 ◽

2014 ◽

Vol 34 ◽

pp. 116-134 ◽

Author(s):

Satoshi Urasawa

Keyword(s):

Real Time ◽

Factor Model ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

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House Price Synchronization and Financial Openness: A Dynamic Factor Model Approach

IMF Working Papers ◽

10.5089/9781484378243.001 ◽

2018 ◽

Vol 18 (209) ◽

pp. 1

Author(s):

Mitsuru Katagiri

Keyword(s):

Factor Model ◽

House Price ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Financial Openness ◽

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An analysis of East Asian currency area: Bayesian dynamic factor model approach

International Review of Applied Economics ◽

10.1080/02692170903007631 ◽

2010 ◽

Vol 24 (1) ◽

pp. 103-117 ◽

Author(s):

Toan Nguyen

Keyword(s):

Factor Model ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Currency Area ◽

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The real-time macro content of corporate financial reports: A dynamic factor model approach

Journal of Monetary Economics ◽

10.1016/j.jmoneco.2021.01.006 ◽

2021 ◽

Author(s):

Ahmed M. Abdalla ◽

Jose M. Carabias ◽

Panos N. Patatoukas

Keyword(s):

Real Time ◽

Factor Model ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Financial Reports ◽

The Real ◽

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Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting

International Journal of Forecasting ◽

10.1016/j.ijforecast.2020.09.013 ◽

2020 ◽

Author(s):

Carlos Trucíos ◽

João H.G. Mazzeu ◽

Luiz K. Hotta ◽

Pedro L. Valls Pereira ◽

Marc Hallin

Keyword(s):

Factor Model ◽

Dimensional Space ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Infinite Dimensional Space ◽

Infinite Dimensional ◽

General Dynamic

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Forecasting the RES generation in developed and developing countries: a dynamic factor model approach

Energy Systems ◽

10.1007/s12667-018-0297-5 ◽

2018 ◽

Vol 10 (4) ◽

pp. 1071-1091

Author(s):

Antonio A. Romano ◽

Giuseppe Scandurra ◽

Alfonso Carfora ◽

Monica Ronghi

Keyword(s):

Developing Countries ◽

Factor Model ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

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How does China’s macro-economy response to the world crude oil price shock: A structural dynamic factor model approach

Computers & Industrial Engineering ◽

10.1016/j.cie.2012.03.012 ◽

2012 ◽

Vol 63 (3) ◽

pp. 634-640 ◽

Author(s):

Bianling Ou ◽

Xun Zhang ◽

Shouyang Wang

Keyword(s):

Factor Model ◽

Oil Price ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Crude Oil Price ◽

Structural Dynamic ◽

Oil Price Shock ◽

The World ◽

Price Shock ◽

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