The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series
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- Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series," Papers 2407.10653, arXiv.org.
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Keywords
Dynamic factor models; Weak factors; Cross-sectional exchangeability;All these keywords.
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