On the efficient synthesis of short financial time series : a Dynamic Factor Model approach
Alessandro Bitetto, Paola Cerchiello, Charilaos Mertzanis
| Year of publication: |
2023
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| Authors: | Bitetto, Alessandro ; Cerchiello, Paola ; Mertzanis, Charilaos |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 53.2023, p. 1-9
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| Subject: | Data-driven | Dimension reduction | Dynamic Factor Model | Financial stability | Financing constraints | State-space model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Faktorenanalyse | Factor analysis | Finanzmarkt | Financial market | Volatilität | Volatility | Schätzung | Estimation | Zustandsraummodell | State space model |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.103678 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014472517