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Search: subject:"High-dimensional factor models"
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Factor analysis
11
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11
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9
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6
High-dimensional factor models
6
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6
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exchange rate forecasting
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foreign exchange rates
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high-dimensional factor models
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macroeconomic factors
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time-varying loadings
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Consistency
2
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High dimensional factor models
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Induktive Statistik
2
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Structural breaks
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Han, Xu
4
Bai, Jushan
3
Hillebrand, Eric
3
Mikkelsen, Jakob Guldbæk
3
Spreng, Lars
3
Urga, Giovanni
3
Duan, Jiangtao
2
Wu, Jianhong
2
Boudt, Kris
1
Huang, Guanglin
1
Lu, Wanbo
1
Ma, Chenchen
1
Shi, Yutang
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1
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Journal of econometrics
5
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ECONIS (ZBW)
11
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1
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:
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
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
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:
5
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:
6
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:
7
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:
8
Group fused Lasso for large factor models with multiple structural breaks
Ma, Chenchen
;
Tu, Yundong
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 132-154
Persistent link: https://www.econbiz.de/10014340971
Saved in:
9
Estimation and inference of change points in
high-dimensional
factor
models
Bai, Jushan
;
Han, Xu
;
Shi, Yutang
- In:
Journal of econometrics
219
(
2020
)
1
,
pp. 66-100
Persistent link: https://www.econbiz.de/10012483190
Saved in:
10
Estimation of
high-dimensional
factor
models
with multiple structural changes
Wang, Lu
;
Wu, Jianhong
- In:
Economic modelling
108
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013347719
Saved in:
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