State-Varying Factor Models of Large Dimensions*

Dynamic Semiparametric Factor Model with Structural Breaks*

(2020) Likai Chen et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Estimating latent asset-pricing factors

(2020) Martin Lettau et al.   JOURNAL OF ECONOMETRICS

Estimation and inference of change points in high-dimensional factor models

(2020) Jushan Bai et al.   JOURNAL OF ECONOMETRICS

On the systematic and idiosyncratic volatility with large panel high-frequency data

(2018) Xin-Bing Kong   ANNALS OF STATISTICS

Testing Alphas in Conditional Time-Varying Factor Models with High Dimensional Assets

(2018) Shujie Ma et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Testing against constant factor loading matrix with large panel high-frequency data

(2018) Xin-Bing Kong et al.   JOURNAL OF ECONOMETRICS

Estimation of large dimensional factor models with an unknown number of breaks

(2018) Shujie Ma et al.   JOURNAL OF ECONOMETRICS

Simultaneous multiple change-point and factor analysis for high-dimensional time series

(2018) Matteo Barigozzi et al.   JOURNAL OF ECONOMETRICS

Large-dimensional factor modeling based on high-frequency observations

(2018) Markus Pelger   JOURNAL OF ECONOMETRICS

On time-varying factor models: Estimation and testing

(2017) Liangjun Su et al.   JOURNAL OF ECONOMETRICS

Using principal component analysis to estimate a high dimensional factor model with high-frequency data

(2017) Yacine Aït-Sahalia et al.   JOURNAL OF ECONOMETRICS

Principal Component Analysis of High-Frequency Data

(2017) Yacine Aït-Sahalia et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Projected principal component analysis in factor models

(2016) Jianqing Fan et al.   ANNALS OF STATISTICS

Testing for factor loading structural change under common breaks

(2015) Yohei Yamamoto et al.   JOURNAL OF ECONOMETRICS

Detecting big structural breaks in large factor models

(2014) Liang Chen et al.   JOURNAL OF ECONOMETRICS

TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS

(2014) Xu Han et al.   ECONOMETRIC THEORY

Consistent factor estimation in dynamic factor models with structural instability

(2013) Brandon J. Bates et al.   JOURNAL OF ECONOMETRICS

Large covariance estimation by thresholding principal orthogonal complements

(2013) Jianqing Fan et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

Fitting dynamic factor models to non-stationary time series

(2010) Michael Eichler et al.   JOURNAL OF ECONOMETRICS

Testing for structural breaks in dynamic factor models

(2010) Jörg Breitung et al.   JOURNAL OF ECONOMETRICS

Time Series Modelling With Semiparametric Factor Dynamics

(2009) Byeong U. Park et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION