Nearest comoment estimation with unobserved factors (Q2190230): Difference between revisions

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-Leopoldo Catania
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-Dries Cornilly
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+Dries Cornilly
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@@ Property / author @@
+Leopoldo Catania
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+Inferential Theory for Factor Models of Large Dimensions
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+Principal components estimation and identification of static factors
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@@ Property / cites work @@
+Generalized dynamic factor models and volatilities: recovering the market volatility shocks
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@@ Property / cites work @@
+Generalized dynamic factor models and volatilities: estimation and forecasting
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@@ Property / cites work @@
+Consistent noisy independent component analysis
@@ Property / cites work: Consistent noisy independent component analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
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@@ Property / cites work @@
+Sufficient forecasting using factor models
@@ Property / cites work: Sufficient forecasting using factor models / rank @@
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@@ Property / cites work @@
+Independent Factor Autoregressive Conditional Density Model
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@@ Property / cites work @@
+Portfolio selection with higher moments
@@ Property / cites work: Portfolio selection with higher moments / rank @@
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@@ Property / cites work @@
+An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution
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+Q5721534
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+Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
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+Factor analysis for non-normal variables
@@ Property / cites work: Factor analysis for non-normal variables / rank @@
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@@ Property / cites work @@
+Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
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@@ Property / cites work @@
+Q4847217
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@@ Property / cites work @@
+More efficient parameter estimates for factor analysis of ordinal variables by ridge generalized least squares
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