Zobrazeno 1 - 10
of 230
pro vyhledávání: '"URGA, GIOVANNI"'
Autor:
Urga, Giovanni, Wang, Fa
This paper proposes maximum (quasi)likelihood estimation for high dimensional factor models with regime switching in the loadings. The model parameters are estimated jointly by the EM (expectation maximization) algorithm, which in the current context
Externí odkaz:
http://arxiv.org/abs/2205.12126
Publikováno v:
In Journal of Financial Stability October 2024 74
Publikováno v:
In International Review of Financial Analysis July 2024 94
Publikováno v:
In International Journal of Forecasting January-March 2024 40(1):202-228
We propose two types of equal predictive ability (EPA) tests with panels to compare the predictions made by two forecasters. The first type, namely $S$-statistics, focuses on the overall EPA hypothesis which states that the EPA holds on average over
Externí odkaz:
http://arxiv.org/abs/2003.02803
Autor:
Leong, Soon Heng, Urga, Giovanni
Publikováno v:
In Journal of Economic Dynamics and Control August 2023 153
Publikováno v:
In International Review of Financial Analysis July 2022 82
Publikováno v:
In Journal of Financial Stability June 2022 60
Publikováno v:
In Journal of Banking and Finance May 2022 138