Media type: E-Book Title: Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach Contributor: Hallin, Marc [VerfasserIn]; Trucios, Carlos [VerfasserIn] imprint: Brussels, Belgium: ECARES, December 2020 Published in: European Center for Advanced Research in Economics and Statistics: ECARES working paper ; 2020,50 Extent: 1 Online-Ressource (circa 25 Seiten); Illustrationen Language: English Identifier: Keywords: conditional covariance ; high-dimensional time series ; large panels ; risk measures ; volatility ; Graue Literatur Origination: Footnote: Access State: Open Access