Time Series In High Dimensions: The General Dynamic Factor Model
Inbunden, Engelska, 2020
Av HALLIN MARC, Hallin Marc, Marc Hallin, Marco Lippi, Matteo Barigozzi, Mario Forni, Paolo Zaffaroni, Belgium) Hallin, Marc (Univ Libre De Bruxelles, Italy) Lippi, Marco (Einaudi Inst For Economics & Finance, Uk) Barigozzi, Matteo (London School Of Economics & Political Science, Italy) Forni, Mario (Univ Di Modena E Reggio Emilia, Uk) Zaffaroni, Paolo (Imperial College London
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Fri frakt för medlemmar vid köp för minst 249 kr.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.
Produktinformation
- Utgivningsdatum2020-08-04
- Mått235 x 159 x 51 mm
- Vikt1 242 g
- SpråkEngelska
- Antal sidor764
- FörlagWorld Scientific Publishing Co Pte Ltd
- EAN9789813278004