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)
Fabian Waldinger (Ludwig Maximilian University of Munich, Germany)
Hong Deng
David Forrest (University of Liverpool, United Kingdom), Carlos Gomez-Gonzalez (University of Lausanne, Switzerland), Jing Guan (Loughborough University, United Kingdom), Carl Singleton (University of Stirling, United Kingdom), Angelos Theodorakopoulos (Aston University, United Kingdom), Elisa de Weerd (Erasmus University Rotterdam & Radboud University)
Moritz Kuhn (University of Mannheim, Germany)
Kai Barron (Berlin School of Economics, Germany)
Bernd Schwaab (European Central Bank, Germany)
Dmitry Kuvshinov (Universitat Pompeu Fabra, Spain)
Şifa Çelik (Eindhoven University of Technology)
Valeria Burdea (Ludwig Maximillian University Munich, Germany)
Oliver Linton (University of Cambridge, United Kingdom)
Hanna Schwank (University of Bonn, Germany)
Galo Nuño (Bank of Spain)
Magdalena Donohue
Alexia Delfino (Bocconi University, Italy)
Ion Lucas Saru
Bertil Tungodden (NHH Norwegian School of Economics, Norway)
Andreas Fuster (Swiss Finance Institute @ EPFL, Switzerland)