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Forecasting equity index volatility by measuring the linkage among component stocks
Qiu, Yue, (2022)
Common time variation of parameters in reduced-form macroeconomic models
Stevanovic, Dalibor, (2016)
Is there a missing factor? : a canonical correlation approach to factor models
Ahn, Seung Chan, (2018)
Dynamic factor analysis with ARMA factors
Heaton, Christopher, (2000)
Asymptotic principal components estimation of large factor models
Heaton, Christopher, (2003)
Identification and estimation of causal factor models of stationary time series
Heaton, Christopher, (2002)