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Search: subject:"High-dimensional factor models"
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Factor analysis
14
Faktorenanalyse
14
Estimation
9
Schätzung
9
Estimation theory
8
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8
High-dimensional factor models
7
Structural break
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high-dimensional factor models
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4
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3
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Welt
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World
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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
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CAPM
2
Consistency
2
Exchange rate theory
2
High dimensional factor models
2
Induktive Statistik
2
Statistical inference
2
Statistical test
2
Statistischer Test
2
Structural breaks
2
Wechselkurstheorie
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Break dates
1
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1
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English
14
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Han, Xu
4
Bai, Jushan
3
Hillebrand, Eric
3
Mikkelsen, Jakob Guldbæk
3
Spreng, Lars
3
Urga, Giovanni
3
Wu, Jianhong
3
Duan, Jiangtao
2
Wang, Lu
2
Zhou, Ruichao
2
Borri, Nicola
1
Boudt, Kris
1
Huang, Guanglin
1
Liu, Yukun
1
Lu, Wanbo
1
Ma, Chenchen
1
Shi, Yutang
1
Tsyvinski, Aleh
1
Tu, Yundong
1
Xiang, Jingjie
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Četverikov, Denis N.
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Journal of econometrics
5
Economics letters
2
CEA_372Bayes working paper series
1
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Cowles Foundation discussion paper
1
Economic modelling
1
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)
14
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14
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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
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:
3
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:
4
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:
5
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:
6
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:
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
Determining the number of change-points in
high-dimensional
factor
models
by cross-validation with matrix completion
Zhou, Ruichao
;
Wu, Jianhong
- In:
Economics letters
232
(
2023
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014464419
Saved in:
9
Quasi-maximum likelihood estimation of break point in
high-dimensional
factor
models
Duan, Jiangtao
;
Bai, Jushan
;
Han, Xu
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 209-236
Persistent link: https://www.econbiz.de/10014340997
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:
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