@article{modellinglargedimensionaldatasetswith,
  title = {Modelling Large Dimensional Datasets with Markov Switching Factor Models},
  author = {Matteo Barigozzi and Daniele Massacci},
  year = {2022},
  eprint = {2210.09828},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2210.09828v5},
}