Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals
نویسندگان
چکیده
منابع مشابه
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ACKNOWLEDGMENTS I would like to thank Dr. Olive for his invaluable assistance and insights leading to the writing of this paper. Many of the examples and definitions have been quoted directly from his book. My sincere thanks also goes to the members of my graduate committee, Dr. Jeyratnam and Dr. Hughes for their patience and time dedicated to read and discuss this paper. I would also like to t...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2020
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2020.01.003