Time series factor models

DOI10.1002/WICS.1245MaRDI QIDQ6562684zbMATH OpenFDO

Authors Katherine Bennett Ensor

Publication date 27 June 2024

Published in Wiley Interdisciplinary Reviews. WIREs Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

stocksprincipal component regressiondynamic factor models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites work

• scientific article; zbMATH DE number 3117083 (Why is no real title available?)
• scientific article; zbMATH DE number 3605818 (Why is no real title available?)
• A dimension-reduced approach to space-time Kalman filtering
• A parametric estimation method for dynamic factor models of large dimensions
• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
• Analysis of financial time series
• Determining the Number of Factors in Approximate Factor Models
• Forecasting Using Principal Components From a Large Number of Predictors
• GLS estimation of dynamic factor models
• Identification of causal factor models of stationary time series
• Models for Investors in Real World Markets
• Statistics and Data Analysis for Financial Engineering
• Variable selection for nonparametric Gaussian process priors: Models and computational strategies

Cited in

(1)

• Computational finance: correlation, volatility, and markets

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