Change point tests in functional factor models with application to Yield curves
Year of publication: |
2017
|
---|---|
Authors: | Bardsley, Patrick ; Horváth, Lajos ; Kokoszka, Piotr ; Young, Gabriel |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 20.2017, 1, p. 86-117
|
Subject: | Change point | Functional time series | Yield curve | Zeitreihenanalyse | Time series analysis | Zinsstruktur | Theorie | Theory | Schätzung | Estimation | Faktorenanalyse | Factor analysis | Prognoseverfahren | Forecasting model |
-
Fan, Jianqing, (2021)
-
Essays on the large dimensional approximate dynamic factor model
Schmid, Frank, (2009)
-
A dynamic factor model of the yield curve components as a predictor of the economy
Chauvet, Marcelle, (2016)
- More ...
-
Tests of Normality of Functional Data
Górecki, Tomasz, (2020)
-
Testing for stochastic dominance using the weighted McFadden-type statistic
Horváth, Lajos, (2006)
-
Monitoring constancy of variance in conditionally heteroskedastic time series
Horváth, Lajos, (2006)
- More ...