CP Factor Model for Dynamic Tensors
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Cited by:
- Chang, Jinyuan & Zhang, Henry & Yang, Lin & Yao, Qiwei, 2023. "Modelling matrix time series via a tensor CP-decomposition," LSE Research Online Documents on Economics 117644, London School of Economics and Political Science, LSE Library.
- Xialu Liu & John Guerard & Rong Chen & Ruey Tsay, 2024. "Improving Estimation of Portfolio Risk Using New Statistical Factors," Papers 2409.17182, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2021-11-22 (Econometrics)
- NEP-ETS-2021-11-22 (Econometric Time Series)
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