Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering
Matteo Barigozzi (University of Bologna, Italy)
- Erasmus Econometric Institute Series
Matteo Barigozzi (University of Bologna, Italy)
Diane Pierret (University of Luxembourg)
Bernd Schwaab (European Central Bank, Germany)
Dmitry Kuvshinov (Universitat Pompeu Fabra, Spain)
Şifa Çelik (Eindhoven University of Technology)
Oliver Linton (University of Cambridge, United Kingdom)
Glenn Schepens (European Central Bank, Germany)
Lu Liu (The Wharton School, University of Pennsylvania, United States)
Federico Bandi (Johns Hopkins University, United States)
Francisco Gomes (London Business School, United Kingdom)
Simona Abis (University of Colorado Boulder, United States)
Rodrigo Hizmeri (University of Liverpool, United Kingdom)
Pierre Mabille (INSEAD, France)
Giovanni Mellace (University of Southern Denmark)
Adair Morse (University of California at Berkeley, Haas School of Business, United States)
Johanna Ziegel (ETH Zurich, Switzerland)
Clara Martínez-Toledano (Imperial College London, United Kingdom)
Patrick Gagliardini (University of Lugano, Switzerland)
Peter Grünwald (Leiden University)
Asaf Bernstein (University of Colorado, United States)