Time Series in High Dimension: the General Dynamic Factor Model

Released on by Marc Hallin
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  • Time Series in High Dimension: the General Dynamic Factor Model Book Detail

  • Author : Marc Hallin
  • Release Date : 2020-03-30
  • Publisher : World Scientific Publishing Company
  • Genre : Business & Economics
  • Pages : 764
  • ISBN 13 : 9789813278004
  • File Size : 93,93 MB
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Time Series in High Dimension: the General Dynamic Factor Model by Marc Hallin PDF Summary

Book Description: 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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