State-Varying Factor Models of Large Dimensions
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Cites work
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Asset pricing theory.
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Consistent factor estimation in dynamic factor models with structural instability
- Detecting big structural breaks in large factor models
- Determining the Number of Factors in Approximate Factor Models
- Estimating and testing high dimensional factor models with multiple structural changes
- Estimating latent asset-pricing factors
- Estimation and inference of change points in high-dimensional factor models
- Estimation of large dimensional factor models with an unknown number of breaks
- Fitting dynamic factor models to non-stationary time series
- Forecasting in dynamic factor models subject to structural instability
- Forecasting the term structure of government bond yields
- scientific article; zbMATH DE number 3136275 (Why is no real title available?)
- Inference in group factor models with an application to mixed-frequency data
- Inferential Theory for Factor Models of Large Dimensions
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Large-dimensional factor modeling based on high-frequency observations
- On the number of common factors with high-frequency data
- On the systematic and idiosyncratic volatility with large panel high-frequency data
- On time-varying factor models: estimation and testing
- Principal Component Analysis of High-Frequency Data
- Projected principal component analysis in factor models
- Shrinkage estimation of high-dimensional factor models with structural instabilities
- Simultaneous multiple change-point and factor analysis for high-dimensional time series
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Testing against constant factor loading matrix with large panel high-frequency data
- Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets
- Testing for factor loading structural change under common breaks
- Testing for structural breaks in dynamic factor models
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests for parameter instability in dynamic factor models
- Time series modelling with semiparametric factor dynamics
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Cited in
(11)- GMM estimation for high-dimensional panel data models
- Target PCA: transfer learning large dimensional panel data
- Sieve estimation of state-varying factor models
- A robust residual-based test for structural changes in factor models
- Inference for large dimensional factor models under general missing data patterns
- Improving estimation of portfolio risk using new statistical factors
- Modelling large dimensional datasets with Markov switching factor models
- Statistical Quantile Learning for Large Additive Latent Variable Models
- A Unified Framework for Estimation of High-Dimensional Conditional Factor Models
- An Adaptive Residual-Based Test for Factor Structure
- Testing for common latent factors across two short panels
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