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Dynamic factor models with infinite-dimensional factor space : asymptotic analysis
Forni, Mario; Hallin, Marc; Lippi, Marco; Zaffaroni, Paolo - 2015
Persistent link: https://www.econbiz.de/10011289217
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Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections
Bańbura, Marta; Giannone, Domenico; Lenza, Michele - 2014
Persistent link: https://www.econbiz.de/10010376924
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Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo; Hallin, Marc - 2014
Persistent link: https://www.econbiz.de/10010483698
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Inferential theory for generalized dynamic factor models
Barigozzi, Matteo; Hallin, Marc; Luciani, Matteo; … - 2021
Persistent link: https://www.econbiz.de/10012614627
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Nowcasting Mexican GDP
Caruso, Alberto - 2015
Persistent link: https://www.econbiz.de/10011628474
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Dynamic factor model with infinite dimensional factor space: forecasting
Forni, Mario; Giovannelli, Alessandro; Lippi, Marco; … - 2016
Persistent link: https://www.econbiz.de/10011672373
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Identification of global and national shocks in international financial markets via general dynamic factor models
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2017
Persistent link: https://www.econbiz.de/10011673310
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High-dimensional functional factor models
Hallin, Marc; Nisol, Gilles; Tavakoli, Shahin - 2019
Persistent link: https://www.econbiz.de/10012064780
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Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019
Persistent link: https://www.econbiz.de/10012064799
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Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo; Hallin, Marc - 2018
Persistent link: https://www.econbiz.de/10012064840