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Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting

  • Published:2021-10 Issue:4 Volume:37 Page:1520-1534
  • ISSN:0169-2070
  • Container-title:International Journal of Forecasting
  • language:en
  • Short-container-title:International Journal of Forecasting

Author:

Trucíos Carlos,Mazzeu João H.G.,Hotta Luiz K.,Valls Pereira Pedro L.,Hallin Marc

Funder

São Paulo Research Foundation (FAPESP), Brazil

Coordination for the Improvement of Higher Level Personnel (CAPES), Brazil

São Paulo Research Foundation

Brazilian National Council for Scientific and Technological Development (CNPq), Brazil

Centre for Applied Research on Econometrics, Finance and Statistics (CAREFS), Brazil

Centre of Quantitative Studies in Economics and Finance (CEQEF), Brazil

Publisher

Elsevier BV

Subject

Business and International Management

Reference53 articles.

1. A robust procedure to build dynamic factor models with cluster structure;Alonso;Journal of Econometrics,2020

2. New Eurocoin: Tracking economic growth in real time;Altissimo;The Review of Economics and Statistics,2010

3. Dynamic factor value-at-risk for large heteroskedastic portfolios;Aramonte;Journal of Banking & Finance,2013

4. Robust principal components analysis with non-sparse errors;Bai,2019

5. Determining the number of factors in approximate factor models;Bai;Econometrica,2002

Cited by 9 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Factor-augmented forecasting in big data;International Journal of Forecasting;2024-10

2. Selecting the number of factors in multi‐variate time series;Journal of Time Series Analysis;2024-06-25

3. Dynamic Factor Models: A Genealogy;Studies in Systems, Decision and Control;2024

4. A Review of Outlier Detection and Robust Estimation Methods for High Dimensional Time Series Data;Econometrics and Statistics;2023-02

5. Robust Forecasting of Multiple Time Series with One-Sided Dynamic Principal Components;Robust and Multivariate Statistical Methods;2022-11-26
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