Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
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Publication:2305972
DOI10.1016/j.jeconom.2020.01.003zbMath1456.62179arXiv1811.10045OpenAlexW2901124766MaRDI QIDQ2305972
Publication date: 20 March 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.10045
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Factor models for high‐dimensional functional time series II: Estimation and forecasting, Inferential theory for generalized dynamic factor models
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