Factor models for matrix-valued high-dimensional time series

DOI10.1016/j.jeconom.2018.09.013zbMath1452.62684arXiv1610.01889OpenAlexW2964255370MaRDI QIDQ1739643

Xianqiang Yang

Publication date: 26 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.01889

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Uses Software

• FinTS

Cites Work

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