Similar Search Results

Identification and estimation of a large factor model with structural instability

Baltagi, Badi H.; Kao, Chihwa; Wang, Fa - 2016

Persistent link: https://www.econbiz.de/10011687505

Identification and estimation of a large factor model with structural instability

Baltagi, Badi H.; Kao, Chihwa; Wang, Fa - In: Journal of econometrics 197 (2017) 1, pp. 87-100

Persistent link: https://www.econbiz.de/10011818347

Factor-augmented regressions and their applications to financial markets : a selective review

Zhang, Yonghui - In: Financial econometrics : theory and applications, (pp. 60-94). 2025

Persistent link: https://www.econbiz.de/10015426485

Panel estimation for worriers

Banerjee, Anindya; Eberhardt, Markus; Reade, J. James - 2010

Persistent link: https://www.econbiz.de/10009374189

Dynamic modeling of high-dimensional correlation matrices in finance

Golosnoy, Vasyl; Herwartz, Helmut - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-22

Persistent link: https://www.econbiz.de/10009672608

A predictive approach for selection of diffusion index models

Ando, Tomohiro; Tsay, Ruey S. - In: Econometric reviews 33 (2014) 1/4, pp. 68-99

Persistent link: https://www.econbiz.de/10010358477

Exponent of cross-sectional dependence for residuals

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018

In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel …

Persistent link: https://www.econbiz.de/10011900761

Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models

Veredas, David - 2013

from the curse of dimensionality. We apply the model to a panel of 90 daily realized volatilities pertaining to S&P100 from …

Persistent link: https://www.econbiz.de/10013092430

Maximum Likelihood Estimation and Inference for High Dimensional Nonlinear Factor Models with Application to Factor-Augmented Regressions

Wang, Fa - 2020

This paper reestablishes the main results in Bai (2003) and Bai and Ng (2006) for high dimensional nonlinear factor models, with slightly stronger conditions on the relative magnitude of N(number of subjects) and T(number of time periods). Factors and loadings are estimated by maximum...

Persistent link: https://www.econbiz.de/10012849457

Exponent of cross-sectional dependence for residuals

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018

Persistent link: https://www.econbiz.de/10012583496