DYNAMIC FACTOR MODELS (Q4471130): Difference between revisions

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+Joanna Jasiak
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+MaRDI publication profile
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+Maximum likelihood estimation of order m for stationary stochastic processes
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+A canonical analysis of multiple time series
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+Funds, Factors, and Diversification in Arbitrage Pricing Models
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+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
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+Simulated Moments Estimation of Markov Models of Asset Prices
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+Nonlinear Dynamic Structures
@@ Property / cites work: Nonlinear Dynamic Structures / rank @@
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+ARCH models and financial applications
@@ Property / cites work: ARCH models and financial applications / rank @@
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+Pseudo Maximum Likelihood Methods: Applications to Poisson Models
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+A simple general approach to inference about the tail of a distribution
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+Statistical analysis of cointegration vectors
@@ Property / cites work: Statistical analysis of cointegration vectors / rank @@
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+Impulse response analysis in nonlinear multivariate models
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+BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
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+A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
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+CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
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+Simulation and the Asymptotics of Optimization Estimators
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+Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
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+On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables
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+Mutual fund separation in financial theory - the separating distributions
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+Q4301585
@@ Property / cites work: Q4301585 / rank @@
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