Time Series In High Dimensions: The General Dynamic Factor Model by Hallin, Marc ( Author )
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.
World Scientific Publishing
2020-01-01
9789813278004
Education & Teaching
Econometrics
Hardcopy
2 KG
764
16 x 5 x 23 CM
10
10 days
English
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