Han, Chuan-Hsiang; Molina, German; Fouque, Jean-Pierre - In: Mathematics and Computers in Simulation (MATCOM) 103 (2014) C, pp. 1-11
models with several factors varying at different time scales. The originality of our approach, in contrast with classical … factor models is the identification of two factors driving univariate series at well-separated time scales. This is tested …