Time-Varying Factor Selection : A Sparse Fused GMM Approach

Research output: Working Papers › Preprint

Fingerprint

???publication_fingerprints_help???

Keyphrases

100
Time-invariant Keyphrases
100
Risk Factors Keyphrases
100
Factor Model Keyphrases
100
Model Specification Keyphrases
100
GMM Method Keyphrases
100
Time-varying Factor... Keyphrases
100
Factor Selection Keyphrases
50
Explanatory Power Keyphrases
50
Market Liquidity Keyphrases
50
Invariant Submodels Keyphrases
50
Macroeconomics Keyphrases
50
Regime Switching Keyphrases
50
Structural Breaks Keyphrases
50
Time Variation Keyphrases
50
Unsynchronized Keyphrases
50
Academic Publishing Keyphrases
50
Market Valuation Keyphrases
50
Unbalanced Panel Da... Keyphrases
50
High Interest Rate Keyphrases
50
Macroeconomic Regim... Keyphrases
50
Invariant Factors Keyphrases
50
Factor Discovery Keyphrases
50
Publication Timing Keyphrases
50
Aggregate Performan... Keyphrases
50
Empirical Asset Pri... Keyphrases
50
Stochastic Discount... Keyphrases
50
Time-varying Sparsi... Keyphrases

INIS

100
specifications INIS
66
market INIS
66
risks INIS
33
stochastic processe... INIS
33
performance INIS
33
data INIS
33
power INIS
33
modeling INIS
33
variations INIS
33
panels INIS
33
interest rate INIS
33
assets INIS

Economics, Econometrics and Finance

100
Factor Model Economics, Econometrics a...
66
Market Economics, Econometrics a...
66
Macroeconomics Economics, Econometrics a...
66
Risk Factor Economics, Econometrics a...
33
Asset Pricing Economics, Econometrics a...
33
Liquidity Economics, Econometrics a...
33
Scientific Modellin... Economics, Econometrics a...
33
Panel Study Economics, Econometrics a...
33
Regime Switching Economics, Econometrics a...
33
Interest Rate Economics, Econometrics a...
Research OutputsResearch Output authored by Time-Varying Factor Selection is tagged with the concept