Consistent estimation of time-varying loadings in high-dimensional factor models

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Publication:1739877

DOI10.1016/j.jeconom.2018.09.020zbMath1452.62415OpenAlexW2899444094WikidataQ128937024 ScholiaQ128937024MaRDI QIDQ1739877

Jakob Guldbæk Mikkelsen, Eric Hillebrand, Giovanni Urga

Publication date: 29 April 2019

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/20524/1/MHU_September%202018.pdf



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