High-dimensional VARs with common factors

High-dimensional VARs with common factors

This paper studies high-dimensional vector autoregressions (VARs) augmented with common factors that allow for strong cross-sectional dependence. Models of this type provide a convenient mechanism for accommodating the interconnectedness and temporal co-variability that are often present in large di...

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Bibliographic Details
Main Authors: MIAO, Ke, PHILLIPS, Peter C. B., SU, Liangjun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2023
Subjects:
Common factors
Connectedness
Cross-sectional dependence
Investor fear
High-dimensional VAR
Nuclear-norm regularization
Macroeconomics
Online Access:https://ink.library.smu.edu.sg/soe_research/2695
https://ink.library.smu.edu.sg/context/soe_research/article/3694/viewcontent/d2252_0_PSV.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2695
https://ink.library.smu.edu.sg/context/soe_research/article/3694/viewcontent/d2252_0_PSV.pdf

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