The Dynamic, the Static, and the Weak Factor Models and the Analysis of High-Dimensional Time Series
Travail de recherche/Working paper
| Résumé : | 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 concept of weakly common component recently introduced by Gersing et al. (2023), the irrelevance of cross-sectional ordering and the assumption of cross-sectional exchangeability, and the problem of undetected strong factors. |
