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.
Latest News
“Congratulations to Claudio Costanzo, winner of the 2026 Kuznets Prize!”
Claudio Costanzo (European Commission’s Joint Research Centre & ECARES) receives the 2026 Kuznets Prize for his FREE READ (https://rdcu.be/eKaC4) article Robots, jobs, and optimal fertility timing, which was published in the Journal of Population Economics (2025), 38, article 51. The annual prize honors the best article published in the Journal of Population Economics in the previous year.
Congratulations to Philippe Aghion — Laureate of the 2025 Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel
ECARES warmly congratulates Philippe Aghion on being awarded the Nobel Prize in Economic Sciences, shared with Joel Mokyr and Peter Howitt. Since the founding of ECARES in 1991, Philippe Aghion has maintained a close and fruitful relationship with our center through numerous academic interactions and collaborations that have deeply enriched our research community. We …
BELSPO BRAIN HAIOPOLICY Midterm Conference September 10th
HAIOPOLICY aims to (i) study the socio-economic impact of COVID-19 on households and firms, (ii) document its implications for inequality in Belgium, and (iii) develop policy recommendations to make the Belgian economy more resilient in response to adverse shocks. To do so, the project: Now nearing the end of the second year of the project, …
Continue reading "BELSPO BRAIN HAIOPOLICY Midterm Conference September 10th"
Visit us
ECARES - Solvay Brussels School of Economics and Management
Ave. F.D Roosevelt 42, 5th and 6th floors
1050 - Brussels - Belgium