Search Results - subject:"Dimension Reduction"

Shrinking factor dimension : a reduced-rank approach

He, Ai; Huang, Dashan; Li, Jiaen; Zhou, Guofu - In: Management science : journal of the Institute for … 69 (2023) 9, pp. 5501-5522

Persistent link: https://www.econbiz.de/10014392938

Shrinkage estimation of multiple threshold factor models

Ma, Chenchen; Tu, Yundong - In: Journal of econometrics 235 (2023) 2, pp. 1876-1892

Persistent link: https://www.econbiz.de/10014471434

The role of categorical EPU indices in predicting stock-market returns

Chen, Juan; Ma, Feng; Qiu, Xuemei; Li, Tao - In: International review of economics & finance : IREF 87 (2023), pp. 365-378

Persistent link: https://www.econbiz.de/10014472350

On the efficient synthesis of short financial time series : a Dynamic Factor Model approach

Bitetto, Alessandro; Cerchiello, Paola; Mertzanis, Charilaos - In: Finance research letters 53 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014472517

Modeling volatility risk in equity options market : a statistical approach

Dobi, Doris; Avellaneda, Marco - In: Options - 45 years since the publication of the …, (pp. 257-292). 2023

Persistent link: https://www.econbiz.de/10014366655

Bayesian state space models in macroeconometrics

Chan, Joshua; Strachan, Rodney W. - In: Journal of economic surveys 37 (2023) 1, pp. 58-75

Persistent link: https://www.econbiz.de/10014287769

Socioeconomic index for income and poverty prediction : a sufficient dimension reduction approach

Duarte, Sabrina; Forzani, Liliana; Llop, Pamela; … - In: Review of income and wealth 69 (2023) 2, pp. 318-346

Persistent link: https://www.econbiz.de/10014310987

Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach

Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 40-52

Persistent link: https://www.econbiz.de/10013540629

Mahalanobis distances on factor model based estimation

Dai, Deliang - In: Econometrics 8 (2020) 1, pp. 1-11

A factor model based covariance matrix is used to build a new form of Mahalanobis distance. The distribution and relative properties of the new Mahalanobis distances are derived. A new type of Mahalanobis distance based on the separated part of the factor model is defined. Contamination effects...

Persistent link: https://www.econbiz.de/10012696273

Hole or grain? : a section pursuit index for finding hidden structure in multiple dimensions

Laa, Ursula; Cook, Dianne; Buja, Andreas; Valencia, German - 2020

Persistent link: https://www.econbiz.de/10012607680

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