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João Henrique Gonçalves Mazzeu

Charles III University of Madrid

CL. de Madrid 126

Madrid, 28903

Spain

SCHOLARLY PAPERS

2

DOWNLOADS

288

TOTAL CITATIONS

8

Scholarly Papers (2)

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1.

Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach

Number of pages: 36 Posted: 17 Jun 2019 Last Revised: 28 Sep 2020
Carlos Trucíos, João Henrique Gonçalves Mazzeu, Marc Hallin, Luiz Koodi Hotta, Pedro L. Valls Pereira and Mauricio Zevallos
University of Campinas (UNICAMP) - Department of Statistics, Charles III University of Madrid, ECARES, Universite Libre de Bruxelles, University of Campinas (UNICAMP) - Department of Statistics, Sao Paulo School of Business Administration - FGV and Universidade Estadual de Campinas (UNICAMP)
Downloads 212 (359,492)
Citation 4

Abstract:

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Dimension reduction, Large panels, High-dimensional time series, Minimum variance portfolio, Volatility, Multivariate GARCH

2.

Robustness and the General Dynamic Factor Model With Infinite-Dimensional Space: Identification, Estimation, and Forecasting

Number of pages: 33 Posted: 15 Jan 2020 Last Revised: 30 Sep 2020
Carlos Trucíos, João Henrique Gonçalves Mazzeu, Luiz Koodi Hotta, Pedro L. Valls Pereira and Marc Hallin
University of Campinas (UNICAMP) - Department of Statistics, Charles III University of Madrid, University of Campinas (UNICAMP) - Department of Statistics, Sao Paulo School of Business Administration - FGV and ECARES, Universite Libre de Bruxelles
Downloads 76 (830,555)
Citation 4

Abstract:

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Dimension reduction, Forecast, Jumps, Large panels