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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
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Variable selection, estimation and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - In: Journal of econometrics 164 (2011) 1, pp. 173-187
Persistent link: https://www.econbiz.de/10009270389
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The Wishart Autoregressive process of multivariate stochastic volatility
Gouriéroux, Christian; Jasiak, Joann; Sufana, Razvan - In: Journal of econometrics 150 (2009) 2, pp. 167-181
Persistent link: https://www.econbiz.de/10003858506
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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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Structural analysis with Multivariate Autoregressive Index models
Carriero, Andrea; Kapetanios, George; Marcellino, … - In: Journal of econometrics 192 (2016) 2, pp. 332-348
Persistent link: https://www.econbiz.de/10011704654
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Estimating stable latent factor models by indirect inference
Calzolari, Giorgio; Halbleib, Roxana - In: Journal of econometrics 205 (2018) 1, pp. 280-301
Persistent link: https://www.econbiz.de/10012110265
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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
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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
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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
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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