Asymptotic Inference for Common Factor Models in the Presence of Jumps

Publisher: Hitotsubashi Institute for Advanced Study, Hitotsubashi University

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Summary, etc.：: Financial and macroeconomic time-series data often exhibit infrequent but large jumps. Such jumps may be considered as outliers that are independent o...

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Material Type: 文書・図像類
Title: Asymptotic Inference for Common Factor Models in the Presence of Jumps
Author/Editor: 山本, 庸平
Author Heading: 山本, 庸平
https://nrid.nii.ac.jp/nrid/1000080633916/
Publication, Distribution, etc.: Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Publication Date: 2016-05-17
Publication Date (W3CDTF): 2016-05-17
Contributor: Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Text Language Code: eng
Subject Heading: outliers
large-dimensional factor models
principal components
jumps
common jumps
Target Audience: 一般
Note (General): July 2, 2015; Reviced May 17, 2016
Format (IMT): application/pdf
Source: fulltext
https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/27912/070_hiasDP-E-4.pdf
Access Restrictions: インターネット公開
Periodical Title: Discussion paper series ; No. HIAS-E-4
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources