DYNAMIC FACTOR MODELS

DOI10.1081/ETC-100106997MaRDI QIDQ4471130zbMATH OpenFDO

Authors Christian Gouriéroux, J. Jasiak

Publication date 18 June 2004

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/ETC-100106997

zbMATH Keywords

Factor modelsMoral hazardNonlinear dynamicsStable distributionsStochastic volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)

Recommendations

• Likelihood-based dynamic factor analysis for measurement and forecasting
• scientific article; zbMATH DE number 1911755
• Dynamic Factor Models
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Cites work

• A canonical analysis of multiple time series
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• Funds, Factors, and Diversification in Arbitrage Pricing Models
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
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• Simulation and the Asymptotics of Optimization Estimators
• Statistical analysis of cointegration vectors

Cited in

(19)

• Modelling dynamic portfolio risk using risk drivers of elliptical processes
• Short cuts to dynamic factor demand modelling
• Using principal component analysis to estimate a high dimensional factor model with high-frequency data
• Correlated risks vs contagion in stochastic transition models
• GARCH-type factor model
• The dynamic factor network model with an application to international trade
• Assessing systematic risk in the S\&P500 index between 2000 and 2011: a Bayesian nonparametric approach
• Stochastic volatility duration models
• Sequential estimation of shape parameters in multivariate dynamic models
• Latent variable models for stochastic discount factors
• Dynamic component detection in a multifactor model for stock returns
• Semi-strong dynamic style analysis with time-varying selectivity measurement: Applications to Brazilian exchange-rate funds
• Extremes of Some Sub-Sampled Time Series
• Likelihood-based dynamic factor analysis for measurement and forecasting
• Dynamic Factor Models
• Short communication: Deep fundamental factor models
• Dynamic factor models for multivariate count data: an application to stock-market trading activity
• Dynamic semiparametric factor models in risk neutral density estimation
• Market liquidity as dynamic factors

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