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

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 ◽  
Model Approach

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

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 ◽  
Model Approach
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