Locally Stationary Factor Models: Identification And Nonparametric Estimation
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- Zura Kakushadze, 2015. "Heterotic Risk Models," Papers 1508.04883, arXiv.org, revised Jan 2016.
- Su, Liangjun & Wang, Xia, 2017. "On time-varying factor models: Estimation and testing," Journal of Econometrics, Elsevier, vol. 198(1), pages 84-101.
- Eichler, Michael & Motta, Giovanni & von Sachs, Rainer, 2011.
"Fitting dynamic factor models to non-stationary time series,"
Journal of Econometrics,
Elsevier, vol. 163(1), pages 51-70, July.
- Eichler Michael & Motta Giovanni & Sachs Rainer von, 2009. "Fitting dynamic factor models to non-stationary time series," Research Memorandum 002, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Giovanni Motta & Hernando Ombao, 2012. "Evolutionary Factor Analysis of Replicated Time Series," Biometrics, The International Biometric Society, vol. 68(3), pages 825-836, September.
- Hallin, Marc & Lippi, Marco, 2013.
"Factor models in high-dimensional time series—A time-domain approach,"
Stochastic Processes and their Applications,
Elsevier, vol. 123(7), pages 2678-2695.
- Marc Hallin & Marco Lippi, 2013. "Factor Models in High-Dimensional Time Series: A Time-Domain Approach," Working Papers ECARES ECARES 2013-15, ULB -- Universite Libre de Bruxelles.
- Zura Kakushadze & Willie Yu, 2016. "Statistical Risk Models," Papers 1602.08070, arXiv.org, revised Jan 2017.
- Zura Kakushadze & Willie Yu, 2016. "Multifactor Risk Models and Heterotic CAPM," Papers 1602.04902, arXiv.org, revised Mar 2016.
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