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
• Language: English
• ISBN: 9813278005
• ISBN13: 9789813278004
• Release Date: August 2020
• Publisher: World Scientific Publishing Company
• Length: 764 Pages
• Weight: 2.60 lbs.
• Dimensions: 1.6" x 6.0" x 9.0"