An Index of Co-Movements in Financial Time Series
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Bibliographic InfoPaper provided by Centro de Estudios Monetarios Y Financieros- in its series Papers with number 9415.
Length: 41 pages
Date of creation: 1994
Date of revision:
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Postal: Centro de Estudios Monetarios Y Financieros. Casado del Alisal, 5-28014 Madrid, Spain.
Web page: http://www.cemfi.es/
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- Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006.
"A quasi maximum likelihood approach for large approximate dynamic factor models,"
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0674, European Central Bank.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1014-1024, November.
- Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2008. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," Working Papers ECARES 2008_034, ULB -- Universite Libre de Bruxelles.
- Gabriele Fiorentini & Enrique Sentana, 2010.
"Dynamic Specification Tests for Static Factor Models,"
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04_10, The Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests For Static Factor Models," Working Papers wp2009_0912, CEMFI.
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