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Search: subject:"High-dimensional factor models"
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Factor analysis
16
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16
Estimation
10
Schätzung
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Estimation theory
9
High-dimensional factor models
9
Schätztheorie
9
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high-dimensional factor models
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3
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Strukturwandel
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exchange rate forecasting
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foreign exchange rates
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macroeconomic factors
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time-varying loadings
3
Consistency
2
Exchange rate theory
2
High dimensional factor models
2
Induktive Statistik
2
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Wechselkurstheorie
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English
16
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Han, Xu
5
Bai, Jushan
4
Duan, Jiangtao
3
Hillebrand, Eric
3
Mikkelsen, Jakob Guldbæk
3
Spreng, Lars
3
Urga, Giovanni
3
Wu, Jianhong
3
Huang, Guanglin
2
Lu, Wanbo
2
Wang, Lu
2
Zhou, Ruichao
2
Borri, Nicola
1
Boudt, Kris
1
Liu, Yukun
1
Ma, Chenchen
1
Shi, Yutang
1
Tsyvinski, Aleh
1
Tu, Yundong
1
Wang, Peiwen
1
Xiang, Jingjie
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Četverikov, Denis N.
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Journal of econometrics
6
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2
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1
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1
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1
Economic modelling
1
Finance research letters
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Journal of applied econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Working paper series / Universiteit Gent, Faculteit Economie en Bedrijfskunde
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ECONIS (ZBW)
16
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16
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1
Forward selection Fama-MacBeth regression with higher-order asset pricing factors
Borri, Nicola
;
Četverikov, Denis N.
;
Liu, Yukun
; …
-
2025
Persistent link: https://www.econbiz.de/10015417540
Saved in:
2
Exchange rates and macroeconomic fundamentals : evidence of instabilities from time-varying factor loadings
Hillebrand, Eric
;
Mikkelsen, Jakob Guldbæk
;
Spreng, Lars
; …
- In:
Journal of applied econometrics
38
(
2023
)
6
,
pp. 857-877
Persistent link: https://www.econbiz.de/10014432197
Saved in:
3
How to select the number of factors in break point estimation of
high-dimensional
factor
models
?
Xiang, Jingjie
- In:
Economics letters
254
(
2025
),
pp. 1-9
Persistent link: https://www.econbiz.de/10015467918
Saved in:
4
Estimation of non-Gaussian factors using higher-order multi-cumulants in weak factor models
Lu, Wanbo
;
Huang, Guanglin
;
Boudt, Kris
-
2024
Persistent link: https://www.econbiz.de/10014537295
Saved in:
5
Factor-based higher-order moment portfolio optimization
Wang, Peiwen
;
Huang, Guanglin
;
Lu, Wanbo
- In:
Finance research letters
85
(
2025
)
3
,
pp. 1-8
Persistent link: https://www.econbiz.de/10015574588
Saved in:
6
Exchange rates and macroeconomic fundamentals : evidence of instabilities from time-varying factor loadings
Hillebrand, Eric
;
Mikkelsen, Jakob Guldbæk
;
Spreng, Lars
; …
-
2023
Persistent link: https://www.econbiz.de/10014284145
Saved in:
7
The likelihood ratio test for structural changes in factor models
Bai, Jushan
;
Duan, Jiangtao
;
Han, Xu
- In:
Journal of econometrics
238
(
2024
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10015073952
Saved in:
8
Determination of the number of breaks in
high-dimensional
factor
models
via cross-validation
Zhou, Ruichao
;
Wang, Lu
;
Wu, Jianhong
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
5
,
pp. 739-750
Persistent link: https://www.econbiz.de/10015437657
Saved in:
9
Reprint of: the likelihood ratio test for structural changes in factor models
Bai, Jushan
;
Duan, Jiangtao
;
Han, Xu
- In:
Journal of econometrics
244
(
2024
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10015553723
Saved in:
10
Exchange rates and macroeconomic fundamentals : evidence of instabilities from time-varying factor loadings
Hillebrand, Eric
;
Mikkelsen, Jakob Guldbæk
;
Spreng, Lars
; …
-
2020
Persistent link: https://www.econbiz.de/10012433967
Saved in:
1
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