Factor models for matrix-valued high-dimensional time series

DOI10.1016/j.jeconom.2018.09.013zbMath1452.62684arXiv1610.01889MaRDI 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

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Uses Software

• FinTS