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
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