Parametric estimation of long memory in factor models
Year of publication: |
2023
|
---|---|
Authors: | Ergemen, Yunus Emre |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 235.2023, 2, p. 1483-1499
|
Subject: | Conditional sum of squares | Factor models | Long memory | Principal components analysis | Realized volatility | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Faktorenanalyse | Factor analysis | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Schätzung | Estimation | ARCH-Modell | ARCH model |
-
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre, (2022)
-
Estimation of large volatility matrices with low-rank signal plus sparse noise structures
Dai, Runyu, (2023)
-
Estimating and forecasting large panels of volatilities with approximate dynamic factor models
Luciani, Matteo, (2015)
- More ...
-
Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects
Ergemen, Yunus Emre, (2018)
-
Longevity forecasting by socio‐economic groups using compositional data analysis
Kjærgaard, S⊘ren, (2020)
-
System estimation of panel data models under long-range dependence
Ergemen, Yunus Emre, (2016)
- More ...