Jordi Llorens-Terrazas

Universitat Pompeu Fabra

Barcelona

Spain

Barcelona School of Economics

Carrer de Ramon Trias Fargas, 25-27

Barcelona, 08005

Spain

  • Universitat Pompeu Fabra

  • Barcelona School of Economics

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Projected Dynamic Conditional Correlations

Number of pages: 38 Posted: 11 May 2020 Last Revised: 12 May 2022
Christian T. Brownlees and Jordi Llorens-Terrazas
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Universitat Pompeu Fabra
Downloads 176 (234,249)

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Multivariate Volatility, Dcc, Bregman Projection, Nearest-Correlation Matrix, Stein’s Loss

2.

Empirical Risk Minimization for Time Series: Nonparametric Performance Bounds for Prediction

Number of pages: 40 Posted: 13 Aug 2021 Last Revised: 13 Apr 2022
Christian T. Brownlees and Jordi Llorens-Terrazas
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Universitat Pompeu Fabra
Downloads 125 (307,899)

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Empirical risk minimization, oracle inequality, time series, fore- casting, Markov chain

3.

An Oracle Inequality for Multivariate CAViaR Forecasting

Number of pages: 38 Posted: 02 May 2022 Last Revised: 16 May 2022
Jordi Llorens-Terrazas
Universitat Pompeu Fabra
Downloads 21 (686,739)

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Multivariate conditional quantile, oracle inequality, time series, forecasting, Markov chain.