Dynamic semi-parametric factor model for functional expectiles
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- Petra Burdejová & Wolfgang K. Härdle, 2019. "Dynamic semi-parametric factor model for functional expectiles," Computational Statistics, Springer, vol. 34(2), pages 489-502, June.
References listed on IDEAS
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More about this item
Keywords
factor model; functional data; expectiles; extremes.;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-01-29 (Econometrics)
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