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Factor analysis
104
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Bai, Jushan
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Journal of econometrics
International journal of forecasting
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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34
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ECONIS (ZBW)
104
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
3
Estimation and inference in factor copula models with exogenous covariates
Mayer, Alexander
;
Wied, Dominik
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1500-1521
Persistent link: https://www.econbiz.de/10014471408
Saved in:
4
Approximate factor models with weaker loadings
Bai, Jushan
;
Ng, Serena
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1893-1916
Persistent link: https://www.econbiz.de/10014471435
Saved in:
5
Large volatility matrix analysis using global and national factor models
Choi, Sung Hoon
;
Kim, Donggyu
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1917-1933
Persistent link: https://www.econbiz.de/10014471436
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6
Uniform predictive inference for factor models with instrumental and idiosyncratic betas
Cheng, Mingmian
;
Liao, Yuan
;
Yang, Xiye
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014471816
Saved in:
7
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
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
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9
Identifying latent factors based on high-frequency data
Sun, Yucheng
;
Xu, Wen
;
Zhang, Chuanhai
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
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10
Large dimensional latent factor modeling with missing observations and applications to causal inference
Xiong, Ruoxuan
;
Pelger, Markus
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 271-301
Persistent link: https://www.econbiz.de/10014341054
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11
Testing for structural changes in large dimensional factor models via discrete Fourier transform
Fu, Zhonghao
;
Hong, Yongmiao
;
Wang, Xia
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 302-331
Persistent link: https://www.econbiz.de/10014341081
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12
Factor models with local factors : determining the number of relevant factors
Freyaldenhoven, Simon
- In:
Journal of econometrics
229
(
2022
)
1
,
pp. 80-102
Persistent link: https://www.econbiz.de/10013441833
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13
Factor models with many assets : strong factors, weak factors, and the two-pass procedure
Anatolyev, Stanislav
;
Mikusheva, Anna
- In:
Journal of econometrics
229
(
2022
)
1
,
pp. 103-126
Persistent link: https://www.econbiz.de/10013441835
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14
Kotlarski with a factor loading
Lewbel, Arthur
- In:
Journal of econometrics
229
(
2022
)
1
,
pp. 176-179
Persistent link: https://www.econbiz.de/10013441849
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15
Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions
Wang, Fa
- In:
Journal of econometrics
229
(
2022
)
1
,
pp. 180-200
Persistent link: https://www.econbiz.de/10013441851
Saved in:
16
Projected estimation for large-dimensional matrix factor models
Yu, Long
;
He, Yong
;
Kong, Xinbing
;
Zhang, Xinsheng
- In:
Journal of econometrics
229
(
2022
)
1
,
pp. 201-217
Persistent link: https://www.econbiz.de/10013441854
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17
Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity
Ando, Tomohiro
;
Bai, Jushan
;
Li, Kunpeng
- In:
Journal of econometrics
230
(
2022
)
1
,
pp. 20-38
Persistent link: https://www.econbiz.de/10013441911
Saved in:
18
Nonlinear factor models for network and panel data
Chen, Mingli
;
Fernández-Val, Iván
;
Weidner, Martin
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 296-324
Persistent link: https://www.econbiz.de/10012618515
Saved in:
19
Estimating and testing high dimensional factor models with multiple structural changes
Baltagi, Badi H.
;
Kao, Chihwa
;
Wang, Fa
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 349-365
Persistent link: https://www.econbiz.de/10012618518
Saved in:
20
Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure
Norkutė, Milda
;
Sarafidis, Vasilis
;
Yamagata, Takashi
; …
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 416-446
Persistent link: https://www.econbiz.de/10012618523
Saved in:
21
Detecting granular time series in large panels
Brownlees, Christian
;
Mesters, Geert
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 544-561
Persistent link: https://www.econbiz.de/10012618565
Saved in:
22
Large-dimensional dynamic factor models : estimation of impulse–response functions with I(1) cointegrated factors
Barigozzi, Matteo
;
Lippi, Marco
;
Luciani, Matteo
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 455-482
Persistent link: https://www.econbiz.de/10012619245
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23
Detection of units with pervasive effects in large panel data models
Kapetanios, George
;
Pesaran, M. Hashem
;
Reese, S.
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 510-541
Persistent link: https://www.econbiz.de/10012619248
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24
The factor analytical approach in near unit root interactive effects panels
Norkutė, Milda
;
Westerlund, Joakim
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 569-590
Persistent link: https://www.econbiz.de/10012619250
Saved in:
25
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing
;
Ke, Yuan
;
Liao, Yuan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
Saved in:
26
Estimation and inference in semiparametric quantile factor models
Ma, Shujie
;
Linton, Oliver
;
Gao, Jiti
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 295-323
Persistent link: https://www.econbiz.de/10012619426
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27
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
28
High dimensional minimum variance portfolio estimation under statistical factor models
Ding, Yi
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 502-515
Persistent link: https://www.econbiz.de/10012619723
Saved in:
29
On factor models with random missing : EM estimation, inference, and cross validation
Jin, Sainan
;
Miao, Ke
;
Su, Liangjun
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 745-777
Persistent link: https://www.econbiz.de/10012619784
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30
Nonparametric estimation of large covariance matrices with conditional sparsity
Wang, Hanchao
;
Peng, Bin
;
Li, Degui
;
Leng, Chenlei
- In:
Journal of econometrics
223
(
2021
)
1
,
pp. 53-72
Persistent link: https://www.econbiz.de/10012619958
Saved in:
31
Recursive estimation in large panel data models : theory and practice
Jiang, Bin
;
Yang, Yanrong
;
Gao, Jiti
;
Hsiao, Cheng
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 439-465
Persistent link: https://www.econbiz.de/10013275396
Saved in:
32
Nearest comoment estimation with unobserved factors
Boudt, Kris
;
Cornilly, Dries
;
Verdonck, Tim
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 381-397
Persistent link: https://www.econbiz.de/10012482778
Saved in:
33
Bootstrapping factor models with cross sectional dependence
Gonçalves, Sílvia
;
Perron, Benoit
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 476-495
Persistent link: https://www.econbiz.de/10012483168
Saved in:
34
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:
35
Long-term forecasting of El Niño events via dynamic factor simulations
Li, Mengheng
;
Koopman, Siem Jan
;
Lit, Rutger
;
Petrova, …
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 46-66
Persistent link: https://www.econbiz.de/10012438104
Saved in:
36
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
Saved in:
37
A robust procedure to build dynamic factor models with cluster structure
Alonso, Andrés M.
;
Galeano, Pedro
;
Peña, Daniel
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 35-52
Persistent link: https://www.econbiz.de/10012439635
Saved in:
38
Threshold factor models for high-dimensional time series
Liu, Xialu
;
Chen, Rong
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10012439636
Saved in:
39
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Saved in:
40
Robust covariance estimation for approximate factor models
Fan, Jianqing
;
Wang, Weichen
;
Zhong, Yiqiao
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 5-22
Persistent link: https://www.econbiz.de/10012139773
Saved in:
41
Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
Saved in:
42
Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing
;
Lu, Kun
;
Xiu, Dacheng
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 43-79
Persistent link: https://www.econbiz.de/10012139780
Saved in:
43
Factor models for matrix-valued high-dimensional time series
Wang, Dong
;
Liu, Xialu
;
Chen, Rong
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 231-248
Persistent link: https://www.econbiz.de/10012139838
Saved in:
44
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
45
Consistent estimation of time-varying loadings in high-dimensional factor models
Mikkelsen, Jakob Guldbæk
;
Hillebrand, Eric
;
Urga, Giovanni
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 535-562
Persistent link: https://www.econbiz.de/10012145182
Saved in:
46
Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification
Kaufmann, Sylvia
;
Schumacher, Christian
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 116-134
Persistent link: https://www.econbiz.de/10012303383
Saved in:
47
A rank test for the number of factors with high-frequency data
Kong, Xin-Bing
;
Liu, Zhi
;
Zhou, Wang
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 439-460
Persistent link: https://www.econbiz.de/10012303820
Saved in:
48
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
49
Rank regularized estimation of approximate factor models
Bai, Jushan
;
Ng, Serena
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 78-96
Persistent link: https://www.econbiz.de/10012303892
Saved in:
50
A diagnostic criterion for approximate factor structure
Gagliardini, Patrick
;
Ossola, Elisa
;
Scaillet, Olivier
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 503-521
Persistent link: https://www.econbiz.de/10012304081
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