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Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis

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  1. Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
  2. Chiara Casoli & Riccardo (Jack) Lucchetti, 2022. "Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices [Commodity-price comovement and global economic activity]," The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 494-514.
  3. Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos, 2022. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 40-52, December.
  4. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
  5. Marc Hallin & Siegfried Hörmann & Marco Lippi, 2018. "Optimal dimension reduction for high-dimensional and functional time series," Statistical Inference for Stochastic Processes, Springer, vol. 21(2), pages 385-398, July.
  6. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
  7. Valadkhani, Abbas, 2023. "Asymmetric downside risk across different sectors of the US equity market," Global Finance Journal, Elsevier, vol. 57(C).
  8. Jonas Krampe & Luca Margaritella, 2021. "Factor Models with Sparse VAR Idiosyncratic Components," Papers 2112.07149, arXiv.org, revised May 2022.
  9. Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series," Working Papers ECARES 2024-14, ULB -- Universite Libre de Bruxelles.
  10. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
  11. Matteo Barigozzi & Daniele Massacci, 2022. "Modelling Large Dimensional Datasets with Markov Switching Factor Models," Papers 2210.09828, arXiv.org, revised Dec 2024.
  12. Daniel Peña & Victor J. Yohai, 2016. "Generalized Dynamic Principal Components," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(515), pages 1121-1131, July.
  13. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2017. "Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis," Journal of Econometrics, Elsevier, vol. 199(1), pages 74-92.
  14. Luca Di Bonaventura & Mario Forni & Francesco Pattarin, 2018. "The Forecasting Performance of Dynamic Factor Models with Vintage Data," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0070, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  15. Miaomiao Niu & Guohao Li, 2022. "The Impact of Climate Change Risks on Residential Consumption in China: Evidence from ARMAX Modeling and Granger Causality Analysis," IJERPH, MDPI, vol. 19(19), pages 1-15, September.
  16. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
  17. Matteo Barigozzi, 2022. "On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis," Papers 2211.01921, arXiv.org, revised Jul 2023.
  18. Tommaso Proietti & Alessandro Giovannelli, 2021. "Nowcasting monthly GDP with big data: A model averaging approach," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(2), pages 683-706, April.
  19. Mario Forni & Alessandro Giovannelli & Marco Lippi & Stefano Soccorsi, 2018. "Dynamic factor model with infinite‐dimensional factor space: Forecasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 625-642, August.
  20. Artūras Juodis & Simas Kučinskas, 2023. "Quantifying noise in survey expectations," Quantitative Economics, Econometric Society, vol. 14(2), pages 609-650, May.
  21. Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
  22. Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Papers 1910.03821, arXiv.org, revised Sep 2024.
  23. Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models," Papers 1910.09841, arXiv.org.
  24. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).
  25. Philipp Gersing, 2024. "A Distributed Lag Approach to the Generalised Dynamic Factor Model (GDFM)," Papers 2410.20885, arXiv.org.
  26. Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
  27. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
  28. Forni, Mario & Gambetti, Luca & Lippi, Marco & Sala, Luca, 2020. "Common Component Structural VARs," CEPR Discussion Papers 15529, C.E.P.R. Discussion Papers.
  29. Christian Gross & Pierre L. Siklos, 2020. "Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 61-81, January.
  30. Barigozzi, Matteo & Trapani, Lorenzo, 2020. "Sequential testing for structural stability in approximate factor models," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5149-5187.
  31. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," PSE Working Papers halshs-02262202, HAL.
  32. Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 14, pages 1-14.
  33. Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
  34. Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2021. "Time-varying general dynamic factor models and the measurement of financial connectedness," Journal of Econometrics, Elsevier, vol. 222(1), pages 324-343.
  35. Barigozzi, Matteo & Hallin, Marc & Luciani, Matteo & Zaffaroni, Paolo, 2024. "Inferential theory for generalized dynamic factor models," Journal of Econometrics, Elsevier, vol. 239(2).
  36. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
  37. Philipp Gersing & Christoph Rust & Manfred Deistler, 2023. "Weak Factors are Everywhere," Papers 2307.10067, arXiv.org, revised Jan 2024.
  38. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Working Papers ECARES 2023-15, ULB -- Universite Libre de Bruxelles.
  39. Siegfried Hörmann & Gilles Nisol, 2021. "Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(3), pages 295-313, May.
  40. F. Della Marra, 2017. "A forecasting performance comparison of dynamic factor models based on static and dynamic methods," Economics Department Working Papers 2017-ME01, Department of Economics, Parma University (Italy).
  41. Matteo Barigozzi & Marc Hallin, 2017. "A network analysis of the volatility of high dimensional financial series," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(3), pages 581-605, April.
  42. Trucíos, Carlos & Mazzeu, João H.G. & Hotta, Luiz K. & Valls Pereira, Pedro L. & Hallin, Marc, 2021. "Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1520-1534.
  43. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Papers 1510.05118, arXiv.org, revised Jul 2016.
  44. John Nkwoma Inekwe, 2022. "Economic performance in Africa: The role of fragile financial system," The World Economy, Wiley Blackwell, vol. 45(6), pages 1910-1936, June.
  45. Duc Thi Luu, 2022. "Portfolio Correlations in the Bank-Firm Credit Market of Japan," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 529-569, August.
  46. Alessandro Giovannelli & Marco Lippi & Tommaso Proietti, 2023. "Band-Pass Filtering with High-Dimensional Time Series," Papers 2305.06618, arXiv.org.
  47. Alonso, Andrés M. & Galeano, Pedro & Peña, Daniel, 2020. "A robust procedure to build dynamic factor models with cluster structure," Journal of Econometrics, Elsevier, vol. 216(1), pages 35-52.
  48. James E. Payne & Xiaojin Sun, 2023. "Time‐varying connectedness of metropolitan housing markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(2), pages 470-502, March.
  49. Jiahe Lin & George Michailidis, 2019. "Approximate Factor Models with Strongly Correlated Idiosyncratic Errors," Papers 1912.04123, arXiv.org.
  50. Junfan Mao & Zhigen Gao & Bing-Yi Jing & Jianhua Guo, 2024. "On the statistical analysis of high-dimensional factor models," Statistical Papers, Springer, vol. 65(8), pages 4991-5019, October.
  51. Smeekes, Stephan & Wijler, Etienne, 2018. "Macroeconomic forecasting using penalized regression methods," International Journal of Forecasting, Elsevier, vol. 34(3), pages 408-430.
  52. Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
  53. Yang, Lu, 2022. "Idiosyncratic information spillover and connectedness network between the electricity and carbon markets in Europe," Journal of Commodity Markets, Elsevier, vol. 25(C).
  54. Marc Hallin, 2022. "Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series," Working Papers ECARES 2022-30, ULB -- Universite Libre de Bruxelles.
  55. Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
  56. Kim, Donggyu & Fan, Jianqing, 2019. "Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction," Journal of Econometrics, Elsevier, vol. 208(2), pages 395-417.
  57. Philipp Gersing, 2024. "On the Existence of One-Sided Representations in the Generalised Dynamic Factor Model," Papers 2410.18159, arXiv.org.
  58. Jari Miettinen & Katrin Illner & Klaus Nordhausen & Hannu Oja & Sara Taskinen & Fabian J. Theis, 2016. "Separation of Uncorrelated Stationary time series using Autocovariance Matrices," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 337-354, May.
  59. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014. "Dynamic Factor Models, Cointegration and Error Correction Mechanisms," Working Papers ECARES ECARES 2014-14, ULB -- Universite Libre de Bruxelles.
  60. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2020. "Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors," Econometrics, MDPI, vol. 8(1), pages 1-23, February.
  61. Assaf, A. George & Tsionas, Mike G., 2019. "Forecasting occupancy rate with Bayesian compression methods," Annals of Tourism Research, Elsevier, vol. 75(C), pages 439-449.
  62. Yu, Zhen & Liu, Wei & Yang, Fuyu, 2023. "A central bankers’ sentiment index of global financial cycle," Finance Research Letters, Elsevier, vol. 57(C).
  63. Xu Zhang & Xian Yang & Jianping Li & Jun Hao, 2023. "Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 705-733, June.
  64. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
  65. Krupskii, Pavel & Joe, Harry, 2020. "Flexible copula models with dynamic dependence and application to financial data," Econometrics and Statistics, Elsevier, vol. 16(C), pages 148-167.
  66. Simone Tonini & Francesca Chiaromonte & Alessandro Giovannelli, 2022. "On the impact of serial dependence on penalized regression methods," LEM Papers Series 2022/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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