Time series in high dimensions : the general dynamic factor model
Author(s)
Bibliographic Information
Time series in high dimensions : the general dynamic factor model
World Scientific, c2020
Available at / 1 libraries
-
No Libraries matched.
- Remove all filters.
Description and Table of Contents
Description
Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account of the so-called General Dynamic Factor Model methods. The topics covered include: asymptotic representation problems, estimation, forecasting, identification of the number of factors, identification of structural shocks, volatility analysis, and applications to macroeconomic and financial data.
by "Nielsen BookData"