Determining the number of breaks in high-dimensional factor models with interval-valued data

DOI10.1016/J.ECONLET.2026.112869MaRDI QIDQ7239523zbMATH OpenFDO

Authors Yan Guo, Jing Chen, Jianhong Wu

Publication date 8 May 2026

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2026.112869

zbMATH Keywords

approximate factor modelsinterval-valued datastructural changesthe number of breaks

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• Modeling the variance of return intervals toward volatility prediction
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