Editorial: Dynamic factor models

DOI10.1016/S0304-4076(03)00195-7zbMath1298.00263OpenAlexW2109131655MaRDI QIDQ2439042

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Publication date: 7 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00195-7

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Economic time series analysis (91B84) Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Related Items (3)

Using principal component analysis to estimate a high dimensional factor model with high-frequency data ⋮ Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data ⋮ Cointegration Detection Using Dynamic Factor Models

Cites Work

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• Multivariate Stochastic Variance Models
• Volatility and Links between National Stock Markets
• COINTEGRATION AND COMMON FACTORS
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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