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Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis · Study

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ArticleDynamic factor models with infinite-dimensional factor space: Asymptotic analysis

Mario Forni2017

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Articlegreen2017

Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis

Mario Forni · Marc Hallin · Marco Lippi · Paolo Zaffaroni

98 citations·0/0 files stored·Journal of Econometrics

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Spatial and Panel Data Analysis Statistical Methods and Applications Financial Risk and Volatility Modeling

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References

2002Determining the Number of Factors in Approximate Factor Models 2002Forecasting Using Principal Components From a Large Number of Predictors 2002Macroeconomic Forecasting Using Diffusion Indexes 2000The Generalized Dynamic-Factor Model: Identification and Estimation 2005The Generalized Dynamic Factor Model 2007Determining the Number of Factors in the General Dynamic Factor Model 2006Determining the Number of Primitive Shocks in Factor Models 2009Testing Hypotheses About the Number of Factors in Large Factor Models

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2023Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach 2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals 2021Forecasting stock returns with large dimensional factor models 2016Non-Stationary Dynamic Factor Models for Large Datasets

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Details

Year2017

Typearticle

Published2017-04-24

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations98

Files0 public / 0

ShelfSpatial and Panel Data Analysis

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doi10.1016/j.jeconom.2017.04.002

openalex_workW1898037979

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