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 2024-12-21 14:11:21 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.

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

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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