Cauã Pereira Masseu in research grants and scholarships supported by FAPESP.
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¿The project investigates the robustness of dynamic factor models applied to time series, with an emphasis on the presence of outliers. It evaluates the performance of the outlier detection method proposed by Galeano and Peña (2024) (Detecting outliers in high-dimensional time series by dynamic factor models), in terms of estimation and forecasting effectiveness. The methodological approa…
Various statistical methods are applied in finance. One of the features of financial series is the occurrence of outliers. The objective of the project is to introduce the student to the study of the effects of these outliers on the performance of these methods and alternatives to make these methods more robust.
High-dimensional time series have become increasingly common across various fields. For instance, they are prevalent in climatology, where measurements are taken at numerous locations, as well as in economic panel data and finance. A popular approach to modeling these types of series, in order to overcome the so-called "curse of dimensionality," is to use factor models. Meanwhile, a commo…
| 1 / 1 | Ongoing scholarships in Brazil |
| 1 / 1 | Completed scholarships in Brazil |
| 1 / 1 | Completed scholarships abroad |
| 3 / 3 | All Scholarships |
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