Editorial: Dynamic factor models

DOI10.1016/S0304-4076(03)00195-7MaRDI QIDQ2439042zbMATH OpenOpenAlexFDO

Authors

Publication date 7 March 2014

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

Full work available at URL https://doi.org/10.1016/s0304-4076(03)00195-7

Mathematics Subject Classification ID

Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Economic time series analysis (91B84)

Cites work

• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Closing the GARCH gap: Continuous time GARCH modeling
• COINTEGRATION AND COMMON FACTORS
• Funds, Factors, and Diversification in Arbitrage Pricing Models
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 4086787 (Why is no real title available?)
• scientific article; zbMATH DE number 3605818 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Multivariate Stochastic Variance Models
• Mutual fund separation in financial theory - the separating distributions
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Nonlinear principal components and long-run implications of multivariate diffusions
• Spectral methods for identifying scalar diffusions
• Temporal Aggregation of Garch Processes
• Volatility and Links between National Stock Markets

Cited in

(5)

• Using principal component analysis to estimate a high dimensional factor model with high-frequency data
• Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
• Extremes of Some Sub-Sampled Time Series
• Dynamic Factor Models
• Cointegration Detection Using Dynamic Factor Models

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