Robustness and the General Dynamic Factor Model With Infinite-Dimensional Space: Identification, Estimation, and Forecasting

Infinite Dimensional ◽

Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting

International Journal of Forecasting ◽

10.1016/j.ijforecast.2020.09.013 ◽

2020 ◽

Author(s):

Carlos Trucíos ◽

João H.G. Mazzeu ◽

Luiz K. Hotta ◽

Pedro L. Valls Pereira ◽

Marc Hallin

Keyword(s):

Factor Model ◽

Dimensional Space ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Infinite Dimensional ◽

Dynamic factor model with infinite‐dimensional factor space: Forecasting

Journal of Applied Econometrics ◽

10.1002/jae.2634 ◽

2018 ◽

Vol 33 (5) ◽

pp. 625-642 ◽

Cited By ~ 14

Author(s):

Mario Forni ◽

Alessandro Giovannelli ◽

Marco Lippi ◽

Stefano Soccorsi

Keyword(s):

Factor Model ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Factor Space ◽

Infinite Dimensional

Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Model Approach

SSRN Electronic Journal ◽

10.2139/ssrn.3748736 ◽

2020 ◽

Author(s):

Marc Hallin ◽

Carlos César Trucíos Maza

Keyword(s):

At Risk ◽

Value At Risk ◽

Factor Model ◽

Expected Shortfall ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

General Dynamic ◽

Model Approach

Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Model Approach

Econometrics and Statistics ◽

10.1016/j.ecosta.2021.04.006 ◽

2021 ◽

Author(s):

Marc Hallin ◽

Carlos Trucíos

Keyword(s):

At Risk ◽

Value At Risk ◽

Factor Model ◽

Expected Shortfall ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

General Dynamic ◽

Model Approach

The general dynamic factor model: One-sided representation results

Journal of Econometrics ◽

10.1016/j.jeconom.2010.11.003 ◽

2011 ◽

Vol 163 (1) ◽

pp. 23-28 ◽

Cited By ~ 48

Author(s):

Mario Forni ◽

Marco Lippi

Keyword(s):

Factor Model ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Determining the Number of Factors in the General Dynamic Factor Model

Journal of the American Statistical Association ◽

10.1198/016214506000001275 ◽

2007 ◽

Vol 102 (478) ◽

pp. 603-617 ◽

Cited By ~ 264

Author(s):

Marc Hallin ◽

Roman Liška

Keyword(s):

Factor Model ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Number Of Factors ◽

On the Borsuk-Ulam Theorem for Lipschitz Mappings on an Infinite-Dimensional Space

Functional Analysis and Its Applications ◽

10.1007/s10688-019-0249-4 ◽

2019 ◽

Vol 53 (1) ◽

pp. 61-64

Author(s):

B. D. Gel’man

Keyword(s):

Dimensional Space ◽

Infinite Dimensional ◽

Lipschitz Mappings ◽

Ulam Theorem

Bosons in Infinite-Dimensional Space and the Failure of the Associative Law

Progress of Theoretical Physics ◽

10.1143/ptp.85.1175 ◽

1991 ◽

Vol 85 (6) ◽

pp. 1175-1176

Author(s):

S. Koretune

Keyword(s):

Dimensional Space ◽

Infinite Dimensional ◽

Associative Law

A dynamic factor model of the coincident indicators for the US transportation sector

Applied Economics Letters ◽

10.1080/1350485042000271125 ◽

2004 ◽

Vol 11 (10) ◽

pp. 595-600 ◽

Cited By ~ 6

Author(s):

Kajal Lahiri * ◽

Wenxiong Yao

Keyword(s):

Factor Model ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Transportation Sector ◽

The Us

Hilbert's Nullstellensatz in Infinite-Dimensional Space

Proceedings of the American Mathematical Society ◽

10.2307/2031893 ◽

1952 ◽

Vol 3 (3) ◽

pp. 407

Author(s):

Serge Lang

Keyword(s):

Dimensional Space ◽

Infinite Dimensional