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Factor models for asset returns based on transformed factors
Li, Jialiang; Zhang, Wenyang; Kong, Efang - In: Journal of econometrics 207 (2018) 2, pp. 432-448
Persistent link: https://www.econbiz.de/10012116375
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Bayesian analysis of static and dynamic factor models : an ex-post approach towards the rotation problem
Aßmann, Christian; Boysen-Hogrefe, Jens; Pape, Markus - In: Journal of econometrics 192 (2016) 1, pp. 190-206
Persistent link: https://www.econbiz.de/10011617144
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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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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
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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
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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
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Testing super-diagonal structure in high dimensional covariance matrices
He, Jing; Chen, Song Xi - In: Journal of econometrics 194 (2016) 2, pp. 283-297
Persistent link: https://www.econbiz.de/10011705144
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Realized regression with asynchronous and noisy high frequency and high dimensional data
Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10015074483
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Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 2, pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
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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