Probabilistic Quantile Factor Analysis
Author:
Affiliation:
1. University of Glasgow, BI Norwegian Business School
2. BI Norwegian Business School, Norges Bank
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/07350015.2024.2396956
Reference39 articles.
1. Adrian T. Boyarchenko N. and Giannone D. (2019). Vulnerable growth. American Economic Review 109(4):1263–89.
2. Aliverti E. and Russo M. (2022). Stratified stochastic variational inference for high-dimensional network factor model. Journal of Computational and Graphical Statistics 31(2):502–511.
3. Ando T. and Bai J. (2020). Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity. Journal of the American Statistical Association 115(529):266–279.
4. Andreou E. Ghysels E. and Kourtellos A. (2013). Should macroeconomic forecasters use daily financial data and how? Journal of Business & Economic Statistics 31(2):240–251.
5. Bai J. and Ng S. (2002). Determining the number of factors in approximate factor models. Econometrica 70(1):191–221.
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