Cover Image

A Dynamic Factor Model for Level and Volatility

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Mumtaz, Haroon, Velasco, Sofia
Format:	Preprint
Published:	2026
Subjects:	Econometrics
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

A Bayesian Gaussian Process Dynamic Factor Model
by: Chernis, Tony, et al.
Published: (2025)

Stochastic Volatility-in-mean VARs with Time-Varying Skewness
by: Ferreira, Leonardo N., et al.
Published: (2025)

Let the Tree Decide: FABART A Non-Parametric Factor Model
by: Velasco, Sofia
Published: (2025)

Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels
by: Hiraki, Daichi, et al.
Published: (2026)

Large Volatility Matrix Prediction using Tensor Factor Structure
by: Choi, Sung Hoon, et al.
Published: (2024)

Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting
by: Takahashi, Makoto, et al.
Published: (2024)

Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price
by: Chen, Muzi, et al.
Published: (2024)

Dynamic Factor Models: a Genealogy
by: Barigozzi, Matteo, et al.
Published: (2023)

On the Asymmetric Volatility Connectedness
by: Hatemi-J, Abdulnasser
Published: (2024)

Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
by: Li, Degui, et al.
Published: (2024)

Modelling and Forecasting Energy Market Volatility Using GARCH and Machine Learning Approach
by: Chung, Seulki
Published: (2024)

Forecasting Oil Volatility through Network Models with GARCH-Informed Correlation Weights
by: Djebari, Fayçal, et al.
Published: (2025)

CP Factor Model for Dynamic Tensors
by: Han, Yuefeng, et al.
Published: (2021)

Large Bayesian Tensor VARs with Stochastic Volatility
by: Chan, Joshua C. C., et al.
Published: (2024)

A Distributed Lag Approach to the Generalised Dynamic Factor Model
by: Gersing, Philipp
Published: (2024)

Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility
by: Choi, Sung Hoon, et al.
Published: (2025)

Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
by: Hao, Yu, et al.
Published: (2025)

Bayesian Dynamic Factor Models for High-dimensional Matrix-valued Time Series
by: Zhang, Wei
Published: (2024)

Return and Volatility Forecasting Using On-Chain Flows in Cryptocurrency Markets
by: Chi, Yeguang, et al.
Published: (2024)

Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector
by: Choi, Sung Hoon, et al.
Published: (2024)

Dynamic Factor Correlation Model
by: Tong, Chen, et al.
Published: (2025)

Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators
by: Figueroa-López, José E., et al.
Published: (2024)

Cross-sectional Dependence in Idiosyncratic Volatility
by: Kalnina, Ilze, et al.
Published: (2024)

Comparing MCMC algorithms in Stochastic Volatility Models using Simulation Based Calibration
by: Wee, Benjamin
Published: (2024)

Large Global Volatility Matrix Analysis Based on Observation Structural Information
by: Choi, Sung Hoon, et al.
Published: (2023)

On the Realized Joint Laplace Transform of Volatilities with Application to Test the Volatility Dependence
by: Feng, XinWei, et al.
Published: (2025)

Method of Moments Estimation for Affine Stochastic Volatility Models
by: Wu, Yan-Feng, et al.
Published: (2024)

Dynamic Matrix Factor Models for High Dimensional Time Series
by: Yu, Ruofan, et al.
Published: (2024)

Enhancing Efficiency of Local Projections Estimation with Volatility Clustering in High-Frequency Data
by: Chua, Chew Lian, et al.
Published: (2025)

Equity Markets Volatility, Regime Dependence and Economic Uncertainty: The Case of Pacific Basin
by: Adrangi, Bahram, et al.
Published: (2025)

The Fourier-Malliavin Volatility (FMVol) MATLAB library
by: Sanfelici, Simona, et al.
Published: (2024)

From Reactive to Proactive Volatility Modeling With Hemisphere Neural Networks
by: Philippe Goulet Coulombe, et al.
Published: (2026)

From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks
by: Coulombe, Philippe Goulet, et al.
Published: (2023)

Universal Factor Models
by: Chen, Songnian, et al.
Published: (2025)

Informing DSGE Models Through Dynamic Factor Models
by: Mario Forni, et al.
Published: (2025)

Volatility Spillovers in China's Real Estate Crisis: A Network Approach
by: Manso, Julia
Published: (2026)

Testing for an Explosive Bubble using High-Frequency Volatility
by: Boswijk, H. Peter, et al.
Published: (2024)

Understanding Volatility Spillover Relationship Among G7 Nations And India During Covid-19
by: Das, Avik, et al.
Published: (2022)

Composite Quantile Factor Model
by: Huang, Xiao
Published: (2023)

Weak Identification in Low-Dimensional Factor Models with One or Two Factors
by: Cox, Gregory
Published: (2022)