Periodic dynamic factor models: estimation approaches and applications
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Cites work
- scientific article; zbMATH DE number 5040166 (Why is no real title available?)
- A two-step estimator for large approximate dynamic factor models based on Kalman filtering
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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- Periodic Time Series Models
- Periodically Correlated Random Sequences
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Cited in
(5)- Two sample tests for high-dimensional autocovariances
- Robust test for structural instability in dynamic factor models
- Sparse vector heterogeneous autoregressive modeling for realized volatility
- Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices
- Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling
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