Title:

A Mixture-Distribution Factor Model for Multivariate Outliers

Author:

Iliyan Georgiev (U Nova)

Journal:

Econometrics Journal

Year:

2007

Volume:

10

Pages:

605-636

JEL codes:

C32 - Time-Series Models
E43 - Determination of Interest Rates; Term Structure of Interest Rates
G12 - Asset Pricing; Trading volume; Bond Interest Rates