1 citations · 1 across the 1 of their papers we have counts for
2 papers
econ.EM2026★ 1 cited
The Canonical Decomposition of Factor Models: Weak Factors are Everywhere
Philipp Gersing, Matteo Barigozzi, Christoph Rust +1
We derive a novel canonical decomposition of factor models encompassing both the static factor model - where factors are loaded only contemporaneously - and the Generalised Dynamic…
econ.EM2025
The Dynamic, the Static, and the Weak: Factor models and the analysis of high-dimensional time series
Matteo Barigozzi, Marc Hallin
Several fundamental and closely interconnected issues related to factor models are reviewed and discussed: dynamic versus static loadings, rate-strong versus rate-weak factors, the…