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SLEX analysis of multivariate nonstationary time series
Omba, Hernando; Sachs, Rainer von; Guo, Wensheng - In: Journal of the American Statistical Association : JASA 100 (2005) 470, pp. 519-531
Persistent link: https://www.econbiz.de/10002929323
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Fitting dynamic factor models to non-stationary time series
Eichler, Michael; Motta, Giovanni; Sachs, Rainer von - 2009
Persistent link: https://www.econbiz.de/10003934781
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Tree-structured wavelet estimation in a mixed effects model for spectra of replicated time series
Freyermuth, Jean-Marc; Ombao, Hernando; Sachs, Rainer von - In: Journal of the American Statistical Association : JASA 105 (2010) 490, pp. 634-646
Persistent link: https://www.econbiz.de/10008736085
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Locally stationary factor models : identification and nonparametric estimation
Motta, Giovanni; Hafner, Christian M.; Sachs, Rainer von - In: Econometric theory 27 (2011) 6, pp. 1279-1319
Persistent link: https://www.econbiz.de/10009489713
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Fitting dynamic factor models to non-stationary time series
Eichler, Michael; Motta, Giovanni; Sachs, Rainer von - In: Journal of econometrics 163 (2011) 1, pp. 51-70
Persistent link: https://www.econbiz.de/10009270587
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Forecasting economic time series with unconditional time-varying variance
Van Bellegem, Sébastien; Sachs, Rainer von - In: International journal of forecasting 20 (2004) 4, pp. 611-627
Persistent link: https://www.econbiz.de/10002434284
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Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano; … - In: Journal of econometrics 222 (2021) 1,2, pp. 324-343
Persistent link: https://www.econbiz.de/10012619427