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)
Bernd Schwaab (European Central Bank, Germany)
Şifa Çelik (Eindhoven University of Technology)
Oliver Linton (University of Cambridge, United Kingdom)
Federico Bandi (Johns Hopkins University, United States)
Rodrigo Hizmeri (University of Liverpool, United Kingdom)
Marvin Borsch (University of Cologne), Ertian Chen (University College London), Jing Kong (University of Southern California), Kieran Marray (Vrije Universiteit Amsterdam), Gyungbae Park (Brown University), Bernhard van der Sluis (Erasmus University Rotterdam) et al.
Giovanni Mellace (University of Southern Denmark)
Johanna Ziegel (ETH Zurich, Switzerland)
Keynote speakers: Maryam Farboodi (MIT, United States), Patrick Gagliardini (USI, Switzerland), and Andrea Vedolin (Boston University, United States)
Patrick Gagliardini (University of Lugano, Switzerland)
Peter Grünwald (Leiden University)
Ming Yuan (Columbia University, United States)
Pasquale Della Corte (Imperial College London, United Kingdom)
Fabian Krüger (Karlsruhe Institute of Technology, Germany)
Yannick Dillschneider
Phillip Heiler (Aarhus University, Denmark)
Isaiah Andrews (MIT, United States)
Keynote by Isaiah Andrews (Massachusetts Institute of Technology, United States). Bertille Antoine (Simon Fraser University, Canada), Ismael Yacoub Mourifie (Washington University in St Louis, United States), David Preinerstorfer (Vienna University of Economics and Business, Austria), Liyang Sun (UCL, United Kingdom), and Frank Windmeijer (University of Oxford, United Kingdom).
Jens Jackwerth (University of Konstanz, Germany)