Matrix-Factor-Augmented Regression
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Cites work
- A randomized sequential procedure to determine the number of factors
- Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
- Autoregressive models for matrix-valued time series
- Bayesian factor-adjusted sparse regression
- Common risk factors in the returns on stocks and bonds
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
- Estimation and Inference of FAVAR Models
- Factor Models for High-Dimensional Tensor Time Series
- Factor models for matrix-valued high-dimensional time series
- Factor-Adjusted Regularized Model Selection
- Forecasting Using Principal Components From a Large Number of Predictors
- Forecasting economic time series using targeted predictors
- Inferential Theory for Factor Models of Large Dimensions
- Matrix Variate Regressions and Envelope Models
- Measure Theory and Probability Theory
- Nonlinear system theory: Another look at dependence
- Nonlinear time series. Nonparametric and parametric methods
- On the number of common factors with high-frequency data
- Projected estimation for large-dimensional matrix factor models
- Regularized Matrix Regression
- Statistical Inference for High-Dimensional Matrix-Variate Factor Models
- Sufficient forecasting using factor models
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