Luca TRAPIN (University of Bologna) “Quasi Maximum Likelihood Estimation of High-Dimensional Approximate Dynamic Matrix Factor Models via the EM Algorithm”
Finance & Financial Econometrics : Time: 10.00 am Date: 19th of December 2024 Room 3001 Luca TRAPIN (University of Bologna) "Quasi Maximum Likelihood Estimation of High-Dimensional Approximate Dynamic Matrix Factor Models via the EM Algorithm" Abstract : This paper considers an approximate dynamic matrix factor model that accounts for the time series nature of the […]