State-Varying Factor Models of Large Dimensions
Bibliographic Data
| ID | 19419803 |
|---|---|
| Authors | Markus Pelger (0000-0001-7111-3588, Stanford University, corresponding author), Ruoxuan Xiong (0000-0002-3701-4428, Stanford University) |
| Year | 2022 |
| Volume | 40 |
| Issue | 3 |
| Pages | 1315-1333 |
| Publication date | 2022-07-03 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2021.1927744 |
| OpenAlex | W2868686466 |
| Language | EN |
| Citations received | 8 |
| References cited | 45 |
Econometrics · Estimator · Factor analysis · Nonparametric statistics · Principal component analysis · Statistics · Complex Systems and Time Series Analysis · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling · Mathematics
A Random Forest–Based Panel Data Approach for Program Evaluation
Time-varying model averaging for Favar models with smooth structural changes
High Dimensional Threshold Factor Models with Common Stochastic Trends
Interpretable Sparse Proximate Factors for Large Dimensions
Disentangling Structural Breaks in Factor Models for Macroeconomic Data
Dynamic Matrix Factor Models
An Adaptive Residual-Based Test for Factor Structure
Factor Models for Conditional Asset Pricing
The arbitrage theory of capital asset pricing
Measuring Uncertainty
Tests for Parameter Instability and Structural Change With Unknown Change Point
A five-factor asset pricing model
Determining the Number of Factors in Approximate Factor Models
Inferential Theory for Factor Models of Large Dimensions
Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
Interpretable Sparse Proximate Factors for Large Dimensions
Macroeconomic Forecasting Using Diffusion Indexes
Functional Linear Regression
Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets
Three Likelihood-Based Methods for Mean and Covariance Structure Analysis with Nonnormal Missing Data
| Unique citing works | 8 |
|---|---|
| Citations per year | 2 |
| Citation span | 2022 - 2026 (5) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 8 |