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Fitting dynamic factor models to non-stationary time series
Eichler, Michael; Motta, Giovanni; Sachs, Rainer von - In: Journal of econometrics 163 (2011) 1, pp. 51-70
Persistent link: https://www.econbiz.de/10009270587
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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
Cover Image
Fitting dynamic factor models to non-stationary time series
Eichler, Michael; Motta, Giovanni; von Sachs, Rainer - In: Journal of econometrics 163 (2011) 1, pp. 51-71
Persistent link: https://www.econbiz.de/10009017643