Vanessa Keranovic, Stjepan Begusic, Zvonko Kostanjcar. Estimating the Number of Latent Factors in High-Dimensional Financial Time Series. In Dinko Begusic, Nikola Rozic, Josko Radic, Matko Saric, editors, 28th International Conference on Software, Telecommunications and Computer Networks, SoftCOM 2020, Split, Croatia, September 17-19, 2020. pages 1-5, IEEE, 2020. [doi]
Abstract is missing.