A two-step estimator for large approximate dynamic factor models based on Kalman filtering
- 作者Catherine Doz; Domenico Giannone; Lucrezia Reichlin
- 卷第164卷
- 期第1期
- 印刷ISSN0304-4076
- 文件大小403.92KB
- 发表时间2011
- DOI10.1016/j.jeconom.2011.02.012
- 页码188-205
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CommentGhysels, Eric; Sinko, Arthur · Journal of Business & Economic Statistics · 2006
Volatility Forecasting and Microstructure NoiseSinko, Arthur; Ghysels, Eric · SSRN Electronic Journal · 2006
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[Realized Variance and Market Microstructure Noise]: CommentEric Ghysels and Arthur Sinko · Journal of Business & Economic Statistics · 2006
MIDAS Regressions: Further Results and New DirectionsGhysels, Eric; Sinko, Arthur; Valkanov, Rossen I. · SSRN Electronic Journal · 2006