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)
Marcus Opp (Stockholm School of Finance, Sweden)
Bernd Schwaab (European Central Bank, Germany)
Dmitry Kuvshinov (Universitat Pompeu Fabra, Spain)
Oliver Linton (University of Cambridge, United Kingdom)
Andreas Fuster (Swiss Finance Institute @ EPFL, Switzerland)