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Cited by:
- Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
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More about this item
Keywords
Daily Global Stock Market Returns; Expectation Maximization Algorithm; Minimum Distance; Quasi Maximum Likelihood; Structural Dynamic Factor Model; Time-Zone Differences;All these keywords.
JEL classification:
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DEM-2022-07-18 (Demographic Economics)
- NEP-ECM-2022-07-18 (Econometrics)
- NEP-ETS-2022-07-18 (Econometric Time Series)
- NEP-IFN-2022-07-18 (International Finance)
- NEP-SEA-2022-07-18 (South East Asia)
Statistics
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