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Estimation of high-dimensional factor models with multiple structural changes

Wang, Lu; Wu, Jianhong - In: Economic modelling 108 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013347719

Structural changes in high dimensional factor models

Bai, Jushan; Han, Xu - In: Frontiers of economics in China : selected publications … 11 (2016) 1, pp. 9-39

Persistent link: https://www.econbiz.de/10011473561

Estimation of large dimensional factor models with an unknown number of breaks

Ma, Shujie; Su, Liangjun - In: Journal of econometrics 207 (2018) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10012116087

Group fused Lasso for large factor models with multiple structural breaks

Ma, Chenchen; Tu, Yundong - In: Journal of econometrics 233 (2023) 1, pp. 132-154

Persistent link: https://www.econbiz.de/10014340971

Estimation and inference of change points in high-dimensional factor models

Bai, Jushan; Han, Xu; Shi, Yutang - In: Journal of econometrics 219 (2020) 1, pp. 66-100

Persistent link: https://www.econbiz.de/10012483190

Long memory and structural changes in the forward discount : an empirical investigation

Choi, Kyongwook; Zivot, Eric - 2003

Many empirical studies find a negative correlation between the returns on the nominal spot exchange rate and the lagged forward discount. This forward discount anomaly implies that the current forward rate is a biased predictor of the future spot rate. A large number of studies in the existing...

Persistent link: https://www.econbiz.de/10011512994