DYNAMIC FACTOR MODELS - MaRDI portal

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Cites Work

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Statistical analysis of cointegration vectors
Impulse response analysis in nonlinear multivariate models
A simple general approach to inference about the tail of a distribution
Mutual fund separation in financial theory - the separating distributions
ARCH models and financial applications
Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables
Nonlinear Dynamic Structures
Simulated Moments Estimation of Markov Models of Asset Prices
Maximum likelihood estimation of order m for stationary stochastic processes
Simulation and the Asymptotics of Optimization Estimators
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
Funds, Factors, and Diversification in Arbitrage Pricing Models
Pseudo Maximum Likelihood Methods: Applications to Poisson Models
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
A canonical analysis of multiple time series
A YIELD‐FACTOR MODEL OF INTEREST RATES
BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
Co-Integration and Error Correction: Representation, Estimation, and Testing
A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration