Search Results - subject:"Multilevel Factor Models"

"It's not the heat, it's the humidity!" : new climate indices for Europe with a multilevel factor model

Casoli, Chiara; Manera, Matteo; Pedini, Luca; Valenti, … - 2025

We construct a comprehensive set of climate indices for European countries that account for several variables related to weather, atmospheric conditions, and water availability. Our dataset includes monthly gridded climate observations from ERA5-Land, aggregated at the country level. Employing a...

Persistent link: https://www.econbiz.de/10015532393

"It's not the heat, it's the humidity!": New climate indices for Europe with a multilevel factor model

Casoli, Chiara; Manera, Matteo; Pedini, Luca; Valenti, … - 2025

Persistent link: https://www.econbiz.de/10015619183

Canonical correlation-based model selection for the multilevel factors

Choi, In; Lin, Rui; Shin, Yongcheol - In: Journal of econometrics 233 (2023) 1, pp. 22-44

Persistent link: https://www.econbiz.de/10014340924

Large covariance estimation using a factor model with common and group-specific factors

Shi, Yafeng; Ai, Chunrong; Shi, Yanlong; Ying, Tingting; … - In: Journal of forecasting 42 (2023) 8, pp. 2217-2248

Persistent link: https://www.econbiz.de/10014432877

Circularly projected common factors for grouped data

Chen, Mingjing - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 636-649

Persistent link: https://www.econbiz.de/10014448386

A multilevel factor approach for the analysis of CDS commonality and risk contribution

Rodríguez-Caballero, Carlos Vladimir; Caporin, Massimiliano - In: Journal of international financial markets, … 63 (2019), pp. 1-18

Persistent link: https://www.econbiz.de/10012263344