Time Series In High Dimensions: The General Dynamic Factor Model

Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account of the so-called General Dynamic Factor Model methods. The topics covered include: asymptotic representation problems, estimation, forecasting, identification of the number of factors, identification of structural shocks, volatility analysis, and applications to macroeconomic and financial data.

Format: Hardcover
No of Pages: 764
Imprint: World Scientific
Publication date: 20200709