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

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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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+Generalized dynamic factor models and volatilities: recovering the market volatility shocks
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+Generalized dynamic factor models and volatilities: estimation and forecasting
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+Consistent noisy independent component analysis
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+Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
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+Sufficient forecasting using factor models
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+Independent Factor Autoregressive Conditional Density Model
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+Portfolio selection with higher moments
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+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
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+Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
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+Q4847217
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+More efficient parameter estimates for factor analysis of ordinal variables by ridge generalized least squares
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+Q126402659
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