Best LACSC 2019 Paper award
“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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9 September 2026Friday, 11 September 2026 | 08:30–13:30, followed by lunchSolvay Brussels School of Economics and Management – Université libre de Bruxelles ECARES is pleased to host the economic workshop “The Dynamic Effects of Mergers: a European Commission Study Prepared by Oxera”, taking place at ULB on Friday, 11 September 2026. The workshop will present and discuss …
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Economic Workshop on the Dynamic Effects of Mergers
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Paula Gobbi receives the 2026 EEA Role Models in Economics Award
Congratulations to Professor Paula Gobbi, Director of ECARES, who has received the prestigious 2026 EEA Role Models in Economics Award from the European Economic Association.
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