Advanced search
Publication Cover
Journal of Business & Economic Statistics Volume 40, 2022 - Issue 3
Submit an article Journal homepage
1,432
Views
7
CrossRef citations to date
0
Altmetric
Articles

State-Varying Factor Models of Large Dimensions

Markus PelgerDepartment of Management Science & Engineering, Stanford University, Huang, Stanford, CACorrespondence[email protected]
&
Ruoxuan XiongDepartment of Management Science & Engineering, Stanford University, Huang, Stanford, CA
Pages 1315-1333 | Published online: 17 Jun 2021

Citations (7)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (2)

Xin-Bing Kong, Jin-Guan Lin, Cheng Liu & Guang-Ying Liu. (2023) Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data. Journal of the American Statistical Association 118:542, pages 1333-1344.
Read now
Markus Pelger & Ruoxuan Xiong. (2022) Interpretable Sparse Proximate Factors for Large Dimensions. Journal of Business & Economic Statistics 40:4, pages 1642-1664.
Read now

Articles from other publishers (5)

Sung Hoon Choi. (2023) Feasible weighted projected principal component analysis for semi-parametric factor models. The Econometrics Journal 26:2, pages 215-234.
Crossref
Luyang ChenMarkus Pelger & Jason Zhu. (2023) Deep Learning in Asset Pricing. Management Science.
Crossref
Gaetan Bakalli, Stéphane Guerrier & Olivier Scaillet. (2023) A penalized two-pass regression to predict stock returns with time-varying risk premia. Journal of Econometrics, pages 105375.
Crossref
Liyuan Cui, Yongmiao Hong, Yingxing Li & Junhui Wang. (2019) A Machine Learning Approach to Estimating Large Positive Definite Covariance Matrix of High Frequency Data. SSRN Electronic Journal.
Crossref
Markus Pelger & Ruoxuan Xiong. (2018) Interpretable Proximate Factors for Large Dimensions. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.