2 papers
econ.EM2024
From rotational to scalar invariance: Enhancing identifiability in score-driven factor models
Giuseppe Buccheri, Fulvio Corsi, Emilija Dzuverovic
We show that, for a certain class of scaling matrices including the commonly used inverse square-root of the conditional Fisher Information, score-driven factor models are identifi…
econ.EM2024
Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices
Emilija Dzuverovic, Matteo Barigozzi
We introduce a HD DCC-HEAVY class of hierarchical-type factor models for high-dimensional covariance matrices, employing the realized measures built from higher-frequency data. The…