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)
Amber Geurts (TNO Vector, Center for Societal Innovation and Strategy)
Thao Le
Joe Ploog (IE University, Spain)
Andreas Fuster (Swiss Finance Institute @ EPFL, Switzerland)
Igo Dobbe
Raian Kudashev (Vrije Universiteit Amsterdam)
Dominik Gutt (RWTH Aachen University, Germany)