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Time Series In High Dimensions: The General Dynamic Factor Model (Hardcover): Marc Hallin, Marco Lippi, Matteo Barigozzi, Mario... Time Series In High Dimensions: The General Dynamic Factor Model (Hardcover)
Marc Hallin, Marco Lippi, Matteo Barigozzi, Mario Forni, Paolo Zaffaroni
R5,490 Discovery Miles 54 900
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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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