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Time Series In High Dimensions: The General Dynamic Factor Model

Marc Hallin editor Marco Lippi editor Matteo Barigozzi editor Mario Forni editor Paolo Zaffaroni editor

Format:Hardback

Publisher:World Scientific Publishing Co Pte Ltd

Published:4th Aug '20

Should be back in stock very soon

Time Series In High Dimensions: The General Dynamic Factor Model cover

Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account of the so-called General Dynamic Factor Model methods. The topics covered include: asymptotic representation problems, estimation, forecasting, identification of the number of factors, identification of structural shocks, volatility analysis, and applications to macroeconomic and financial data.

ISBN: 9789813278004

Dimensions: unknown

Weight: unknown

764 pages