Asymptotic Inference for Common Factor Models in the Presence of Jumps

Yohei Yamamoto and 庸平 山本

No 2015-05, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: outliers; large-dimensional common factor models; principal components; jumps (search for similar items in EconPapers)
JEL-codes: C12 C38 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2015-07-02
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Asymptotic Inference for Common Factor Models in the Presence of Jumps (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2015-05

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