Rua Itapeva 474 s.1202
São Paulo, São Paulo 01332-000
Sao Paulo School of Economics, FGV.
Cryptocurrency, GARCH, Model Confidence Set, Outliers, Realised Volatility, Value-at-Risk
Forecast Density, MGARCH, Minimum Variance Portfolio, Outliers, VaR.
Interval prediction, Volatility interval prediction, interval prediction and outlier, interval prediction in EGARCH model, interval prediction in GJR-GARCH model, skew distribution
Conditional Covariance Matrix, Constant Volatility, Curse of Dimensionality, Jumps, Outliers, Principal Components
Cryptocurrency, GAS, GARCH, Pair-copula, Risk Measures, Volatility
minimum variance portfolio, risk, shrinkage, S&P500
Dimension reduction, Large panels, High-dimensional time series, Minimum variance portfolio, Volatility, Multivariate GARCH
Bootstrap, GARCH, Robust, Volatility
minimum variance portfolio, risk, shrinkage, S&P 500
Dimension reduction, Forecast, Jumps, Large panels
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