Consistent estimation of time-varying loadings in high-dimensional factor models
Mikkelsen, Jakob Guldbæk, Hillebrand, Eric, Urga, GiovanniLanguage:
english
Journal:
Journal of Econometrics
DOI:
10.1016/j.jeconom.2018.09.020
Date:
November, 2018
File:
PDF, 1.29 MB
english, 2018