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Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan.
In: Papers.
RePEc:arx:papers:2009.10103.

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  26. Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Song, Xinyu ; Kim, Donggyu ; Wang, Yazhen.
    In: Papers.
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  27. A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio.
    In: Papers.
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  28. Energy security in decision making and governance - Methodological analysis of energy trilemma index. (2019). Vasi, Bojana ; Bjegovi, Miroslav ; Prajc, Polona.
    In: Renewable and Sustainable Energy Reviews.
    RePEc:eee:rensus:v:114:y:2019:i:c:19.

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  29. Robust factor number specification for large-dimensional elliptical factor model. (2019). Zhang, Xinsheng ; He, Yong ; Yu, Long.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:174:y:2019:i:c:s0047259x18304378.

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  30. High-dimensional multivariate realized volatility estimation. (2019). Bollerslev, Tim ; Meddahi, Nour ; Nyawa, Serge.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:1:p:116-136.

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  31. A rank test for the number of factors with high-frequency data. (2019). Liu, Zhi ; Kong, Xin-Bing ; Zhou, Wang.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:211:y:2019:i:2:p:439-460.

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  32. Structured volatility matrix estimation for non-synchronized high-frequency financial data. (2019). Kim, Donggyu ; Fan, Jianqing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:209:y:2019:i:1:p:61-78.

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  33. Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

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  34. Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Dai, Chaoxing ; Xiu, Dacheng ; Lu, Kun.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

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  35. Estimating a Large Covariance Matrix in Time-varying Factor Models. (2019). Jung, Jaeheon.
    In: Papers.
    RePEc:arx:papers:1910.11965.

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  36. Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu.
    In: Papers.
    RePEc:arx:papers:1907.01196.

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  37. Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan.
    In: Papers.
    RePEc:arx:papers:1903.12077.

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  38. Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo.
    In: Papers.
    RePEc:arx:papers:1811.10045.

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  39. State-Varying Factor Models of Large Dimensions. (2019). Xiong, Ruoxuan ; Pelger, Markus.
    In: Papers.
    RePEc:arx:papers:1807.02248.

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  40. Machine Learning Macroeconometrics: A Primer. (2018). Korobilis, Dimitris.
    In: Working Paper series.
    RePEc:rim:rimwps:18-30.

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  41. A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. (2018). Feng, Phoenix ; Lam, Clifford.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:88375.

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  42. A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. (2018). Lam, Clifford ; Feng, Phoenix.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:206:y:2018:i:1:p:226-257.

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  43. Simultaneous multiple change-point and factor analysis for high-dimensional time series. (2018). Barigozzi, Matteo ; Fryzlewicz, Piotr ; Cho, Haeran .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:206:y:2018:i:1:p:187-225.

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  44. Testing against constant factor loading matrix with large panel high-frequency data. (2018). Kong, Xin-Bing ; Liu, Cheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:204:y:2018:i:2:p:301-319.

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  45. Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data. (2018). Kim, Donggyu ; Wang, Yazhen ; Li, Cui-Xia ; Kong, Xin-Bing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:203:y:2018:i:1:p:69-79.

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  46. High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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  47. Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/278905.

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  48. Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan.
    In: Papers.
    RePEc:arx:papers:1711.04392.

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  49. Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). Yang, Xiye ; Liao, Yuan.
    In: Departmental Working Papers.
    RePEc:rut:rutres:201711.

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