Pages that link to "Item:Q2439043"
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The following pages link to The generalized dynamic factor model consistency and rates (Q2439043):
Displaying 41 items.
- A two-step estimator for large approximate dynamic factor models based on Kalman filtering (Q58366) (← links)
- Large sample behaviour of high dimensional autocovariance matrices (Q282456) (← links)
- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components? (Q299225) (← links)
- The three-pass regression filter: a new approach to forecasting using many predictors (Q494165) (← links)
- Least squares estimation of large dimensional threshold factor models (Q506056) (← links)
- Spatial dynamic panel data models with interactive fixed effects (Q515141) (← links)
- Information-based multi-assets artificial stock market with heterogeneous agents (Q619750) (← links)
- Infinite-dimensional VARs and factor models (Q737936) (← links)
- Dynamic factors in the presence of blocks (Q737940) (← links)
- Market liquidity as dynamic factors (Q737943) (← links)
- Fitting dynamic factor models to non-stationary time series (Q737945) (← links)
- Estimating multi-country prosperity index: a two-dimensional singular spectrum analysis approach (Q741879) (← links)
- Estimation of high-dimensional linear factor models with grouped variables (Q764504) (← links)
- Dynamic factor models (Q862777) (← links)
- Traders' networks of interactions and structural properties of financial markets: an agent-based approach (Q1646518) (← links)
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387) (← links)
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (Q1739632) (← links)
- Estimating change-point latent factor models for high-dimensional time series (Q2059427) (← links)
- Static and dynamic factors in an information-based multi-asset artificial stock market (Q2148216) (← links)
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals (Q2305972) (← links)
- Threshold factor models for high-dimensional time series (Q2305974) (← links)
- Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach (Q2343097) (← links)
- On the Marčenko-Pastur law for linear time series (Q2343959) (← links)
- Dynamic factor models with infinite-dimensional factor space: asymptotic analysis (Q2397725) (← links)
- Inflation dynamics of franc-zone countries determinants, co-movements and spatial interactions (Q2416308) (← links)
- Factor-GMM estimation with large sets of possibly weak instruments (Q2445717) (← links)
- Random matrix theory in statistics: a review (Q2453609) (← links)
- Hidden factor estimation in dynamic generalized factor analysis models (Q2681371) (← links)
- ESTIMATION OF AUTOCOVARIANCE MATRICES FOR INFINITE DIMENSIONAL VECTOR LINEAR PROCESS (Q2936573) (← links)
- SIZE, OPENNESS, AND MACROECONOMIC INTERDEPENDENCE (Q2980199) (← links)
- Quantile regression models with factor‐augmented predictors and information criterion (Q3018487) (← links)
- Are disaggregate data useful for factor analysis in forecasting French GDP? (Q3065498) (← links)
- Model selection for generalized linear models with factor-augmented predictors (Q3077468) (← links)
- A parametric estimation method for dynamic factor models of large dimensions (Q3077648) (← links)
- Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK (Q3166696) (← links)
- Estimating Factor Models for Multivariate Volatilities: An Innovation Expansion Method (Q3298480) (← links)
- Extracting Conditionally Heteroskedastic Components using Independent Component Analysis (Q5111846) (← links)
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements (Q5743151) (← links)
- Parametric estimation of long memory in factor models (Q6108311) (← links)
- Factor models for high‐dimensional functional time series I: Representation results (Q6135371) (← links)
- Factor models for high‐dimensional functional time series II: Estimation and forecasting (Q6135372) (← links)
