Avoiding jumps in the rotation matrix of time-varying factor models
Ying Lun Cheung
| Year of publication: |
2024
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|---|---|
| Authors: | Cheung, Ying Lun |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 67.2024, 2, Art.-No. 105869, p. 1-8
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| Subject: | Approximate factor models | Local PCA | Rotations | Time-varying coefficients | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.105869 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015062392