State-Varying Factor Models of Large Dimensions

Cites Work

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Forecasting the term structure of government bond yields
Detecting big structural breaks in large factor models
Testing for factor loading structural change under common breaks
Fitting dynamic factor models to non-stationary time series
Testing for structural breaks in dynamic factor models
On the systematic and idiosyncratic volatility with large panel high-frequency data
Simultaneous multiple change-point and factor analysis for high-dimensional time series
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Large-dimensional factor modeling based on high-frequency observations
Testing against constant factor loading matrix with large panel high-frequency data
Estimation of large dimensional factor models with an unknown number of breaks
Estimating latent asset-pricing factors
Estimating and testing high dimensional factor models with multiple structural changes
Estimation and inference of change points in high-dimensional factor models
On time-varying factor models: estimation and testing
Consistent factor estimation in dynamic factor models with structural instability
Tests for Parameter Instability and Structural Change With Unknown Change Point
Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
Principal Component Analysis of High-Frequency Data
Inference in Group Factor Models With an Application to Mixed‐Frequency Data
Time Series Modelling With Semiparametric Factor Dynamics
On the number of common factors with high-frequency data
Inferential Theory for Factor Models of Large Dimensions
Determining the Number of Factors in Approximate Factor Models
Large Covariance Estimation by Thresholding Principal Orthogonal Complements
Projected principal component analysis in factor models
Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets