Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices (Q5053119)
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scientific article; zbMATH DE number 7626653
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices |
scientific article; zbMATH DE number 7626653 |
Statements
Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices (English)
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6 December 2022
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cointegration
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dynamic factor models
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P-T decomposition
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commodity prices co-movement
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