Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach von Trucíos, Carlos, Mazzeu, João H. G., Hallin, Marc, Hotta, Luiz K., Valls Pereira, Pedro L., Zevallos, Mauricio

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Combining Volatility Forecasts of Duration‐Dependent Markov‐Switching Models von Turatti, Douglas Eduardo, Mendes, Fernando Henrique de Paula e Silva, Mazzeu, João H. G.

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Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting von Trucíos, Carlos, Mazzeu, João H.G., Hotta, Luiz K., Valls Pereira, Pedro L., Hallin, Marc

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Modeling and forecasting the oil volatility index von Mazzeu, João H. Gonçalves, Veiga, Helena, Mariti, Massimo B.

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