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LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION. (2011). Hafner, Christian ; von Sachs, Rainer ; Motta, Giovanni .
In: Econometric Theory.
RePEc:cup:etheor:v:27:y:2011:i:06:p:1279-1319_00.

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  1. Perceived shocks and impulse responses. (2024). Smetanina, Katja ; Lu, Jason ; Giacomini, Raffaella.
    In: IFS Working Papers.
    RePEc:ifs:ifsewp:cwp21/24.

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  2. Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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  3. .

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  4. Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/364359.

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  5. Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo.
    In: Papers.
    RePEc:arx:papers:2310.17278.

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  6. Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo.
    In: Papers.
    RePEc:arx:papers:2210.09828.

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  7. Boosting high dimensional predictive regressions with time varying parameters. (2021). Ng, Serena ; Yousuf, Kashif.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:224:y:2021:i:1:p:60-87.

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  8. Nonparametric estimation of large covariance matrices with conditional sparsity. (2021). Leng, Chenlei ; Li, Degui ; Peng, Bin ; Wang, Hanchao.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:223:y:2021:i:1:p:53-72.

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  9. Time-varying general dynamic factor models and the measurement of financial connectedness. (2021). Soccorsi, Stefano ; von Sachs, Rainer ; Hallin, Marc ; Barigozzi, Matteo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:222:y:2021:i:1:p:324-343.

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  10. Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo.
    In: Working Papers.
    RePEc:lan:wpaper:257939806.

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  11. Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/283963.

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

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  13. Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; von Sachs, R ; Barigozzi, M.
    In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences).
    RePEc:aiz:louvad:2019024.

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  14. Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings. (2019). Pea, Daniel ; Rodriguez-Caballero, Carlos Vladimir ; Catao, Duvan Humberto.
    In: CREATES Research Papers.
    RePEc:aah:create:2019-23.

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  15. Estimation of the common component in Dynamic Factor Models. (2018). Navarro, Angela Caro ; Sanchez, Daniel Pea .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:27047.

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  16. On time-varying factor models: Estimation and testing. (2017). Su, Liangjun ; Wang, Xia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:198:y:2017:i:1:p:84-101.

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  17. Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie.
    In: Papers.
    RePEc:arx:papers:1602.08070.

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  18. Multifactor Risk Models and Heterotic CAPM. (2016). Yu, Willie ; Kakushadze, Zura.
    In: Papers.
    RePEc:arx:papers:1602.04902.

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  19. Heterotic Risk Models. (2016). Kakushadze, Zura.
    In: Papers.
    RePEc:arx:papers:1508.04883.

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  20. Factor models in high-dimensional time series—A time-domain approach. (2013). Lippi, Marco ; Hallin, Marc.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:123:y:2013:i:7:p:2678-2695.

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  21. Factor Models in High-Dimensional Time Series: A Time-Domain Approach. (2013). Lippi, Marco ; Hallin, Marc.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/142428.

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  22. Evolutionary Factor Analysis of Replicated Time Series. (2012). Motta, Giovanni ; Ombao, Hernando.
    In: Biometrics.
    RePEc:bla:biomet:v:68:y:2012:i:3:p:825-836.

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  23. Fitting dynamic factor models to non-stationary time series. (2011). Eichler, Michael ; Motta, Giovanni ; von Sachs, Rainer.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:163:y:2011:i:1:p:51-70.

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