Università della Svizzera italiana

Latent factor models for large and mixed-frequency data in finance and macroeconomics

Rubin, Mirco ; Gagliardini, Patrick (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2016 ; 2016ECO002.

My thesis considers new latent factor models, and their estimation methodologies, suitable for settings relatively unexplored in the econometric literature as (i) a nonlinear model for the joint dynamics of a large cross-sectional distribution of asset returns, and the persistence of the ranks of the individuals inside it; (ii) approximate linear latent factor models for large panels of...