High-dimensional methods for factor and time series models

ESEM
Presenter(s) Type Length Chair Room Number Add to calendar
Giorgia De Nora Daniele Massacci Xuexin Wang Young-Kwang Kim Contributed Sessions 29/08 09:00 CEST
90
mins
Giorgia De Nora
40.144
Add to Calendar 2023-08-29 09:00:00 2024-07-15 17:57:09 EEA-ESEM 2023: High-dimensional methods for factor and time series models. Room: 40.144 EEA-ESEM 2023 congress@eeassoc.org Europe/Rome public

Papers

(Listed in order of presenters above)

Factor-Augmented Vector Autoregression with narrative identification. An application to monetary policy in the U.S.

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Modelling Large Dimensional Datasets with Markov Switching Factor Models

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Generalized Spectral Tests for High Dimensional Multivariate Martingale Difference Hypotheses

Instrumental Factor Models for High-Dimensional Functional Data

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Presentations

Factor-Augmented Vector Autoregression with narrative identification. An application to monetary policy in the U.S.

Modelling Large Dimensional Datasets with Markov Switching Factor Models

Generalized Spectral Tests for High Dimensional Multivariate Martingale Difference Hypotheses

Instrumental Factor Models for High-Dimensional Functional Data

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