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Identification of causal factor models of stationary time series
Heaton, Christopher; Solo, Victor - In: The econometrics journal 7 (2004) 2, pp. 618-627
Persistent link: https://www.econbiz.de/10002463697
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A hierachical factor analysis of US housing market dynamics
Mönch, Emanuel; Ng, Serena - In: The econometrics journal 14 (2011) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10009007632
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Determining the number of factors in a multivariate error correction-volatility factor model
Li, Qiaoling; Pan, Jiazhu - In: The econometrics journal 12 (2009) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10003841958
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Generalized dynamic semi-parametric factor models for high-dimensional non-stationary time series
Song, Song; Härdle, Wolfgang; Ritov, Ya'acov - In: The econometrics journal 17 (2014) 2, pp. 101-131
Persistent link: https://www.econbiz.de/10010498722
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Factor analysis in a model with rational expectations
Beyer, Andreas; Farmer, Roger E. A.; Henry, Jérôme; … - In: The econometrics journal 11 (2008) 2, pp. 271-286
Persistent link: https://www.econbiz.de/10003750795
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An overview of the estimation of large covariance and precision matrices
Fan, Jianqing; Liao, Yuan; Liu, Han - In: The econometrics journal 19 (2016) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011487485
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Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo; Hallin, Marc - In: The econometrics journal 19 (2016) 1, pp. 33-60
Persistent link: https://www.econbiz.de/10011487491
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Change point tests in functional factor models with application to Yield curves
Bardsley, Patrick; Horváth, Lajos; Kokoszka, Piotr; … - In: The econometrics journal 20 (2017) 1, pp. 86-117
Persistent link: https://www.econbiz.de/10011719969
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Likelihood-based dynamic factor analysis for measurement and forecasting
Jungbacker, Borus; Koopman, Siem Jan - In: The econometrics journal 18 (2015) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10011378457
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Estimation of large covariance matrices with mixed factor structures
Dai, Runyu; Uematsu, Yoshimasa; Matsuda, Yasumasa - In: The econometrics journal 27 (2024) 1, pp. 62-83
Persistent link: https://www.econbiz.de/10014528099