An edition of Time Series In High Dimensions
(2020)
Time Series In High Dimensions
The General Dynamic Factor Model
First edition
by Marc Hallin, Marco Lippi, and Matteo Barigozzi
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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.
Publish Date
June 29, 2020
Publisher
World Scientific Publishing Company (WSPC),
WSPC
Language
English
Pages
770
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Time Series In High Dimensions: The General Dynamic Factor Model
June 29, 2020, World Scientific Publishing Company (WSPC), WSPC
Hardcover
in English
- First edition
9813278005 9789813278004
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| August 13, 2020 | Edited by ImportBot | import existing book |
| July 25, 2020 | Edited by Kaustubh Chakraborty | Added new book |
| July 25, 2020 | Created by Kaustubh Chakraborty | Added new book. |