Jiahe Lin | DeepAI

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George Michailidis
47 publications

research

∙ 12/09/2019

Regularized Estimation of High-dimensional Factor-Augmented Autoregressive (FAVAR) Models

A factor-augmented vector autoregressive (FAVAR) model is defined by a V...

0 Jiahe Lin, et al. ∙

research

∙ 12/09/2019

Approximate Factor Models with Strongly Correlated Idiosyncratic Errors

We consider the estimation of approximate factor models for time series ...

0 Jiahe Lin, et al. ∙