no code implementations • 13 Jul 2023 • Philipp Gersing, Christoph Rust, Manfred Deistler
Factor Sequences are stochastic double sequences indexed in time and cross-section which have a so called factor structure.
no code implementations • 12 Apr 2022 • Philipp Gersing, Leopold Soegner, Manfred Deistler
The "REtrieval from MIxed Sampling" (REMIS) approach based on blocking developed in Anderson et al. (2016a) is concerned with retrieving an underlying high frequency model from mixed frequency observations.
no code implementations • 15 Feb 2022 • Marco Lippi, Manfred Deistler, Brian Anderson
High-Dimensional Dynamic Factor Models are presented in detail: The main assumptions and their motivation, main results, illustrations by means of elementary examples.