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)
Chris Muris (McMaster University, Canada)
Giovanni Mellace (University of Southern Denmark)
Rodrigo Hizmeri (University of Liverpool, United Kingdom)
Giovanni Mellace (University of Southern Denmark)
Kirill Ponomarev (The University of Chicago, United States) and Silvia Sarpietro (University of Bologna)
Johanna Ziegel (ETH Zurich, Switzerland)
Rasmus Lönn (Erasmus University Rotterdam)
Yacine Aït-Sahalia (Princeton University, United States)
Patrick Gagliardini (University of Lugano, Switzerland)
Martina Pons (University of Zurich, Switzerland)
Peter Grünwald (Leiden University)
Ming Yuan (Columbia University, United States)
Ekaterina Kazak (University of Birmingham, United Kingdom)
Pasquale Della Corte (Imperial College London, United Kingdom)
Fabian Krüger (Karlsruhe Institute of Technology, Germany)