Work

More is not always better : back to the Kalman filter in dynamic factor models

Year: 2012

Type: preprint

Source: RePEc: Research Papers in Economics

Authors: Esther Ruiz, Pilar Poncela

Institutions: Universidad Carlos III de Madrid, Universidad Autónoma de Madrid

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W102444151

Cites: 62

Cited by: 17

Related to: 10