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.

Latest News

Newspaper articles relative to the Corona crisis

30 March 2020

Mathias Dewatripont and Jean Tirole : some interviews on the covid-19 crisis in Belgian press.

See more details

COVID-19

13 March 2020

We regret to inform you that all forthcoming research seminars/conferences organised or hosted by ECARES have been cancelled.  We will reschedule these events as soon as the situation comes back to “normality”.

Inaugural Lecture for the International Francqui Chair of Olivier Scaillet

30 January 2020

THE VALUE ADDED FROM ACTIVE FUND MANAGEMENT – Capitant Brussels and the finance research groups from UCL, UGent, ULB, ULiège, UNamur, and VUB are excited to invite you to the inaugural lecture by professor Olivier Scaillet, laureate of the International Francqui Chair 2020 in human sciences. 

See more details
See more news