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pro vyhledávání: '"Cataño, Duván Humberto"'
We introduce a high-dimensional factor model with time-varying loadings. We cover both stationary and nonstationary factors to increase the possibilities of applications. We propose an estimation procedure based on two stages. First, we estimate comm
Externí odkaz:
http://arxiv.org/abs/2110.04416
Publikováno v:
International Journal of Wavelets, Multiresolution & Information Processing; Jan2022, Vol. 20 Issue 1, p1-27, 27p
