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Time Series in High Dimensions
Hardcover
ISBN13: 9789813278004
Publisher: World Scientific Publishing Company
Published: Jul 19 2020
Pages: 764
Weight: 2.60
Height: 1.63 Width: 6.00 Depth: 9.00
Language: English
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.
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