Best LACSC 2019 Paper award

June 11 2019

Forecasting Conditional Covariance Matrices in High-dimensional Time Series : a General Dynamic Factor Approach
by Marc Hallin, Luiz K. Hotta, João H. G. Mazzeu, Carlos Trucios, Pedro L. Valls Pereira and Mauricio Zevallos

received the best LACSC 2019 Paper Award at the 4th Latin American Conference for Statistical Computing, held in Guayaquil, Ecuador, May 28-31, 2019.

You can download the paper here.

Abstract: Based on a General Dynamic Factor Model with infinite-dimensional factor space, we develop a new estimation and forecasting procedures for conditional covariance matrices in high-dimensional time series. The performance of our approach is evaluated via Monte Carlo experiments, outperforming many alternative methods. The new procedure is used to construct minimum variance portfolios for a high-dimensional panel of assets. The results are shown to achieve better out-of-sample portfolio performance than alternative existing procedures.

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Call for papers

9 September 2019

The 9th Annual Christmas Meeting of Belgian Economists. Date: Friday, December 20, 2019. Location: Louvain-la-Neuve. Keynote Speakers: Klaus Desmet (Southern Methodist University) Christian Gollier (Toulouse School of Economics). As in the previous years, the idea is to have a relaxed day of presentations and exchanges. IRES will provide lunch, tea/coffee and a reception in the evening.  In […]

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Advanced ERC for Paola Conconi

5 September 2019

Paola Conconi received an advanced ERC Grant for her work “Trade Agreements and Supply Chains”.

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Best Paper presented by Anousheh Alamir at the 23rd Annual International Conference on Economics and Security

1 August 2019

The paper is entitled : “Security, disaster management or schooling ? Consequences of the Mexican War on Drugs” (with Tillmann Heidelk)

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