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  • Search: subject:"Approximate factor models"
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Year of publication
Subject
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Approximate factor models 18 Factor analysis 12 Faktorenanalyse 12 Approximate Factor Models 6 Estimation 6 Schätzung 6 Estimation theory 5 Schätztheorie 5 Theorie 5 Budget Shares 4 CAPM 4 Engel Curves 4 Independent Component Analysis 4 Information criterion 4 Local Linear Regression 4 Time series analysis 4 Zeitreihenanalyse 4 Capital income 3 Debiased SOFAR estimator 3 Kapitaleinkommen 3 Modellierung 3 Multiple testing 3 Number of factors 3 Theory 3 1977-2006 2 Common Factors 2 Common components 2 Consumer behaviour 2 Crude Oil Futures 2 Determining the number of weak factors 2 Engel curve 2 Engel-Kurve 2 Excess Comovement 2 FDRand Power 2 Factor selection consistency 2 Firm security returns 2 Forecasting bond yields 2 Gas Futures 2 Großbritannien 2 Induktive Statistik 2
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Online availability
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Free 19 Undetermined 9
Type of publication
All
Book / Working Paper 16 Article 12
Type of publication (narrower categories)
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Article in journal 8 Aufsatz in Zeitschrift 8 Working Paper 8 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3
Language
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English 18 Undetermined 10
Author
All
Barigozzi, Matteo 9 Alessi, Lucia 5 Capasso, Marco 5 Uematsu, Yoshimasa 5 Yamagata, Takashi 5 Moneta, Alessio 4 Sévi, Benoît 4 Bunn, Derek 2 Cheung, Ying Lun 2 Chevallier, Julien 2 Le Pen, Yannick 2 Pen, Yannick Le 2 Bai, Jushan 1 Castro, Vítor 1 Cerqueira, Pedro 1 Cerqueira, Pedro A. 1 Chen, Hui 1 Fryzlewicz, Piotr 1 Heaton, Chris 1 Hou, Qian 1 Li, Degui 1 Li, Kunpeng 1 Li, Yu-Ning 1 Martins, Rodrigo 1 Onatski, Alexei 1 Ruan, Weihua 1 Solo, Victor 1 Wei, Jie 1
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Institution
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Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna 2 Université Paris-Dauphine (Paris IX) 2 European Central Bank 1 European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management 1 Institut de Préparation à l'Administration et à la Gestion (IPAG) 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 3 Discussion paper / Institute of Social and Economic Research 2 Economics Papers from University Paris Dauphine 2 ISER Discussion Paper 2 LEM Papers Series 2 LEM Working Paper Series 2 ECB Working Paper 1 Economics letters 1 Economie Internationale 1 Finance research letters 1 Jahrbücher für Nationalökonomie und Statistik 1 Journal of Econometrics 1 Journal of Multivariate Analysis 1 Journal of applied econometrics 1 LEM working paper series 1 MPRA Paper 1 Open Economies Review 1 Open economies review 1 Working Paper Series / European Central Bank 1 Working Papers / Institut de Préparation à l'Administration et à la Gestion (IPAG) 1 Working Papers ECARES 1
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Source
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RePEc 12 ECONIS (ZBW) 11 EconStor 5
Showing 1 - 10 of 28
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Is there a pervasive world real credit cycle?
Castro, Vítor; Cerqueira, Pedro A.; Martins, Rodrigo - In: Open economies review 35 (2024) 1, pp. 99-119
Persistent link: https://www.econbiz.de/10014515720
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Detection of multiple structural breaks in large covariance matrices
Li, Yu-Ning; Li, Degui; Fryzlewicz, Piotr - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 846-861
Persistent link: https://www.econbiz.de/10014448448
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Avoiding jumps in the rotation matrix of time-varying factor models
Cheung, Ying Lun - In: Finance research letters 67 (2024) 2, pp. 1-8
Persistent link: https://www.econbiz.de/10015062392
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Identification of time-varying factor models
Cheung, Ying Lun - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 76-94
Persistent link: https://www.econbiz.de/10014449828
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Inference in sparsity-induced weak factor models
Uematsu, Yoshimasa; Yamagata, Takashi - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 126-139
Persistent link: https://www.econbiz.de/10013540652
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Inference in weak factor models
Uematsu, Yoshimasa; Yamagata, Takashi - 2020
In this paper, we consider statistical inference for high-dimensional approximate factor models. We posit a weak factor …
Persistent link: https://www.econbiz.de/10012430032
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Inference in weak factor models
Uematsu, Yoshimasa; Yamagata, Takashi - 2020
In this paper, we consider statistical inference for high-dimensional approximate factor models. We posit a weak factor …
Persistent link: https://www.econbiz.de/10012195607
Saved in:
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Estimation of weak factor models
Uematsu, Yoshimasa; Yamagata, Takashi - 2019
In this paper, we propose a novel consistent estimation method for the approximate factor model of Chamberlain and Rothschild (1983), with large cross-sectional and timeseries dimensions (N and T, respectively). Their model assumes that the r (fi N) largest eigenvalues of data covariance matrix...
Persistent link: https://www.econbiz.de/10012430007
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Estimation of weak factor models
Uematsu, Yoshimasa; Yamagata, Takashi - 2019
In this paper, we propose a novel consistent estimation method for the approximate factor model of Chamberlain and Rothschild (1983), with large cross-sectional and timeseries dimensions (N and T, respectively). Their model assumes that the r (fi N) largest eigenvalues of data covariance matrix...
Persistent link: https://www.econbiz.de/10012024724
Saved in:
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Determining the number of factors in static approximate factor models using discrete fourier transforms and pseudo-eigenvalues
Ruan, Weihua; Hou, Qian - In: Jahrbücher für Nationalökonomie und Statistik 241 (2021) 1, pp. 71-117
Persistent link: https://www.econbiz.de/10012437568
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