Consistent estimation of time-varying loadings in...

Consistent estimation of time-varying loadings in high-dimensional factor models

Mikkelsen, Jakob Guldbæk, Hillebrand, Eric, Urga, Giovanni
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Language:
english
Journal:
Journal of Econometrics
DOI:
10.1016/j.jeconom.2018.09.020
Date:
November, 2018
File:
PDF, 1.29 MB
english, 2018
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