Cover Image

Decomposing Co-Movements in Matrix-Valued Time Series: A Pseudo-Structural Reduced-Rank Approach

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Hecq, Alain, Ricardo, Ivan, Wilms, Ines
Format:	Preprint
Published:	2025
Subjects:	Econometrics
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach
by: Hecq, Alain, et al.
Published: (2024)

Detecting Cointegrating Relations in Non-stationary Matrix-Valued Time Series
by: Hecq, Alain, et al.
Published: (2024)

Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions
by: Hecq, Alain, et al.
Published: (2023)

Estimation of Latent Group Structures in Time-Varying Panel Data Models
by: Haimerl, Paul, et al.
Published: (2025)

Bubble Detection with Application to Green Bubbles: A Noncausal Approach
by: Giancaterini, Francesco, et al.
Published: (2025)

Seasonality in Mixed Causal-Noncausal Processes
by: Castro, Tomás del Barrio, et al.
Published: (2026)

Optimization of the Generalized Covariance Estimator in Noncausal Processes
by: Cubadda, Gianluca, et al.
Published: (2023)

Regularized Generalized Covariance (RGCov) Estimator
by: Giancaterini, Francesco, et al.
Published: (2025)

Shrinkage Regularization for (Non)Linear Serial Dependence Test
by: Giancaterini, Francesco, et al.
Published: (2026)

Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration
by: Li, Degui, et al.
Published: (2025)

MLOps Monitoring at Scale for Digital Platforms
by: Hu, Yu Jeffrey, et al.
Published: (2025)

Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms
by: Hu, Yu Jeffrey, et al.
Published: (2023)

Vector AutoRegressive Moving Average Models: A Review
by: Düker, Marie-Christine, et al.
Published: (2024)

Transmission Channel Analysis in Dynamic Models
by: Wegner, Enrico, et al.
Published: (2024)

Sparse High-Dimensional Vector Autoregressive Bootstrap
by: Adamek, Robert, et al.
Published: (2023)

High-Dimensional Matrix-Variate Diffusion Index Models for Time Series Forecasting
by: Ma, Zhiren, et al.
Published: (2025)

Bayesian Dynamic Factor Models for High-dimensional Matrix-valued Time Series
by: Zhang, Wei
Published: (2024)

Dynamic Matrix Factor Models for High Dimensional Time Series
by: Yu, Ruofan, et al.
Published: (2024)

A Hybrid Framework Combining Autoregression and Common Factors for Matrix Time Series
by: Fan, Zhiyun, et al.
Published: (2025)

Time Series Embedding and Combination of Forecasts: A Reinforcement Learning Approach
by: Medeiros, Marcelo C., et al.
Published: (2025)

Local Projection Inference in High Dimensions
by: Adamek, Robert, et al.
Published: (2022)

Cross-Temporal Forecast Reconciliation at Digital Platforms with Machine Learning
by: Rombouts, Jeroen, et al.
Published: (2024)

Impulse Response Analysis of Structural Nonlinear Time Series Models
by: Ballarin, Giovanni
Published: (2023)

Testing and Estimating Structural Breaks in Time Series and Panel Data in Stata
by: Ditzen, Jan, et al.
Published: (2021)

Modewise Additive Factor Model for Matrix Time Series
by: Chen, Elynn, et al.
Published: (2025)

Nested Pseudo Likelihood Estimation of Continuous-Time Dynamic Discrete Games
by: Blevins, Jason R., et al.
Published: (2021)

Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility
by: Choi, Sung Hoon, et al.
Published: (2025)

Large Structural VARs with Multiple Sign and Ranking Restrictions
by: Chan, Joshua, et al.
Published: (2025)

Double Machine Learning for Time Series
by: Ciganovic, Milos, et al.
Published: (2026)

Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector
by: Choi, Sung Hoon, et al.
Published: (2024)

Large Volatility Matrix Prediction using Tensor Factor Structure
by: Choi, Sung Hoon, et al.
Published: (2024)

Decomposing Inequalities using Machine Learning and Overcoming Common Support Issues
by: Flachaire, Emmanuel, et al.
Published: (2025)

True and Pseudo-True Parameters
by: Andrews, Isaiah, et al.
Published: (2026)

Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures
by: Leng, Chenlei, et al.
Published: (2024)

Large Global Volatility Matrix Analysis Based on Observation Structural Information
by: Choi, Sung Hoon, et al.
Published: (2023)

A Structural Approach to Growth-at-Risk
by: Wojciechowski, Robert
Published: (2024)

Dynamic Local Average Treatment Effects in Time Series
by: Casini, Alessandro, et al.
Published: (2025)

Policy Choice in Time Series by Empirical Welfare Maximization
by: Kitagawa, Toru, et al.
Published: (2022)

SPORTSCausal: Spill-Over Time Series Causal Inference
by: Liu, Carol
Published: (2024)

A Supervised Screening and Regularized Factor-Based Method for Time Series Forecasting
by: Tu, Sihan, et al.
Published: (2025)