Estimation of high dimensional factor model with multiple threshold-type regime shifts (Q830479)
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scientific article; zbMATH DE number 7345837
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| English | Estimation of high dimensional factor model with multiple threshold-type regime shifts |
scientific article; zbMATH DE number 7345837 |
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Estimation of high dimensional factor model with multiple threshold-type regime shifts (English)
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7 May 2021
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high dimensional factor models
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least squares estimation
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multiple regime shifts
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number of thresholds
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thresholds
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0.857966959476471
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0.8318196535110474
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0.8284585475921631
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0.8143576979637146
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0.8042412996292114
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