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Modelling multiple time series via common factors

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References

2002Determining the Number of Factors in Approximate Factor Models4,110 cited
2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
1997Estimating continuous-time stochastic volatility models of the short-term interest rate500 cited
2005Diagnostic Checking in ARMA Models With Uncorrelated Errors164 cited
1981Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series162 cited

Cited by

2011Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches96 cited
2014Consistently determining the number of factors in multivariate volatility modelling50 cited
2021Factor extraction using Kalman filter and smoothing: This is not just another survey29 cited
2018Estimating Non-stationary Common Factors: Implications for Risk Sharing28 cited
2013Dynamic Factor Models: A Review of the Literature27 cited
2023Multi-view metro station clustering based on passenger flows: a functional data-edged network community detection approach16 cited

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