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Citations for "Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets"

by Chamberlain, Gary & Rothschild, Michael

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  1. Xi Luo, 2011. "Recovering Model Structures from Large Low Rank and Sparse Covariance Matrix Estimation," Papers 1111.1133, arXiv.org, revised Mar 2013.
  2. Bai, Jushan & Ando, Tomohiro, 2013. "Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors," MPRA Paper 52785, University Library of Munich, Germany, revised Dec 2013.
  3. Charlotte Christiansen & Jonas Nygaard Eriksen & Stig V. Møller, 2013. "Forecasting US Recessions: The Role of Sentiments," CREATES Research Papers 2013-14, School of Economics and Management, University of Aarhus.
  4. Perignon, Christophe & Smith, Daniel R. & Villa, Christophe, 2007. "Why common factors in international bond returns are not so common," Journal of International Money and Finance, Elsevier, Elsevier, vol. 26(2), pages 284-304, March.
  5. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, Elsevier, vol. 52(1-2), pages 5-59.
  6. Gupta, Rangan & Kabundi, Alain, 2011. "A large factor model for forecasting macroeconomic variables in South Africa," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(4), pages 1076-1088, October.
  7. Barry Eichengreen & Ashoka Mody & Milan Nedeljkovic & Lucio Sarno, 2012. "How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads," Working papers, National Bank of Serbia 21, National Bank of Serbia.
  8. Baumeister, Christiane & Liu, Philip & Mumtaz, Haroon, 2013. "Changes in the effects of monetary policy on disaggregate price dynamics," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(3), pages 543-560.
  9. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2000. "Reference Cycles: The NBER Methodology Revisited," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2400, C.E.P.R. Discussion Papers.
  10. Enrique Sentana & Francisco Peñaranda, 2007. "Duality In Mean-Variance Frontiers With Conditioning Information," Working Papers, CEMFI wp2007_0715, CEMFI.
  11. Breitung, Jörg & Eickmeier, Sandra, 2005. "Dynamic factor models," Discussion Paper Series 1: Economic Studies 2005,38, Deutsche Bundesbank, Research Centre.
  12. Garcia, R. & Renault, E., 2000. "Letent Variable Models for Stochastic Discount Factors," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 2000-01, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  13. Yin Liao & Heather Anderson & Farshid Vahid, 2010. "Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics 2010-520, Australian National University, College of Business and Economics, School of Economics.
  14. Corielli, Francesco & Marcellino, Massimiliano, 2002. "Factor Based Index Tracking," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3265, C.E.P.R. Discussion Papers.
  15. Lo, Andrew W. & Mackinlay, A. Craig, 1997. "Maximizing Predictability In The Stock And Bond Markets," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 1(01), pages 102-134, January.
  16. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2012. "Model Selection in Equations with Many 'Small' Effects," Working Paper Series, The Rimini Centre for Economic Analysis 53_12, The Rimini Centre for Economic Analysis.
  17. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2005. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 100, pages 830-840, September.
  18. Catherine Doz & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print hal-00844811, HAL.
  19. Eickmeier, Sandra & Ng, Tim, 2011. "Forecasting national activity using lots of international predictors: An application to New Zealand," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(2), pages 496-511, April.
  20. Peñaranda, Francisco & Sentana, Enrique, 2012. "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, Elsevier, vol. 170(2), pages 303-324.
  21. Choi, In, 2012. "Efficient Estimation Of Factor Models," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 28(02), pages 274-308, April.
  22. Lawrence A. Leger & Vitor Leone, 2007. "Changes in the risk structure of stock returns. Consumer Confidence and the Dotcom Bubble," Discussion Paper Series 2007_15, Department of Economics, Loughborough University, revised Jun 2007.
  23. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome 2011/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
  24. Mario Forni & Luca Gambetti & Luca Sala, 2013. "No News in Business Cycles," Working Papers 491, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  25. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-based estimation of latent generalised ARCH structures," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford.
  26. Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2005. "International Stock Return Comovements," Working Papers, University of Pennsylvania, Wharton School, Weiss Center 06-3, University of Pennsylvania, Wharton School, Weiss Center.
  27. MacKinlay, A. Craig, 1995. "Multifactor models do not explain deviations from the CAPM," Journal of Financial Economics, Elsevier, Elsevier, vol. 38(1), pages 3-28, May.
  28. Goriaev, Alexei & Nijman, Theo E. & Werker, Bas J. M., 2005. "Yet another look at mutual fund tournaments," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(1), pages 127-137, January.
  29. Onatski, Alexei, 2012. "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, Elsevier, vol. 168(2), pages 244-258.
  30. Eichler Michael & Motta Giovanni & Sachs Rainer von, 2009. "Fitting dynamic factor models to non-stationary time series," Research Memorandum 002, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  31. Fushang Liu & Kajal Lahiri, 2006. "Modelling multi-period inflation uncertainty using a panel of density forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 21(8), pages 1199-1219.
  32. Pellényi, Gábor, 2012. "A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel
    [The sectoral effects of monetary policy in Hungary: a structural factor]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 263-284.
  33. Sean Holly & M. Hashem Pesaran & Takashi Yamagata, 2006. "A Spatio-Temporal Model of House Prices in the US," CESifo Working Paper Series 1826, CESifo Group Munich.
  34. Robert S. Pindyck & Julio J. Rotemberg, 1990. "Do Stock Prices Move Together Too Much?," NBER Working Papers 3324, National Bureau of Economic Research, Inc.
  35. Bai, Jushan, 2004. "Estimating cross-section common stochastic trends in nonstationary panel data," Journal of Econometrics, Elsevier, Elsevier, vol. 122(1), pages 137-183, September.
  36. Forni, Mario & Gambetti, Luca, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7692, C.E.P.R. Discussion Papers.
  37. Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Working Papers ECARES, ULB -- Universite Libre de Bruxelles 2008_012, ULB -- Universite Libre de Bruxelles.
  38. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc.
  39. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2006. "The Asymptotics for Panel Models with Common Shocks," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 77, Center for Policy Research, Maxwell School, Syracuse University.
  40. Breitung, Jörg & Eickmeier, Sandra, 2009. "Testing for structural breaks in dynamic factor models," Discussion Paper Series 1: Economic Studies 2009,05, Deutsche Bundesbank, Research Centre.
  41. M. Hashem Pesaran & Elisa Tosetti, 2007. "Large Panels with Common Factors and Spatial Correlations," CESifo Working Paper Series 2103, CESifo Group Munich.
  42. Angelini, Elena & Henry, Jérôme & Marcellino, Massimiliano, 2003. "Interpolation and backdating with a large information set," Working Paper Series, European Central Bank 0252, European Central Bank.
  43. Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model fiscal," Working Papers 440, Barcelona Graduate School of Economics.
  44. Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach," PIER Working Paper Archive 12-046, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  45. Hahn, Elke, 2002. "Core inflation in the euro area: An application of the generalized dynamic factor model," CFS Working Paper Series 2002/11, Center for Financial Studies (CFS).
  46. Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2014. "Understanding global liquidity," European Economic Review, Elsevier, Elsevier, vol. 68(C), pages 1-18.
  47. Ángel Cuevas & Enrique Quilis, 2012. "A factor analysis for the Spanish economy," SERIEs, Spanish Economic Association, vol. 3(3), pages 311-338, September.
  48. Kapetanios, G. & Pesaran, M. Hashem & Yamagata, T., 2011. "Panels with non-stationary multifactor error structures," Journal of Econometrics, Elsevier, Elsevier, vol. 160(2), pages 326-348, February.
  49. 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.
  50. Haruo Iwakura & Ryo Okui, 2014. "Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models," KIER Working Papers 887, Kyoto University, Institute of Economic Research.
  51. George Kapetanios & Massimiliano Marcellino, 2009. "A parametric estimation method for dynamic factor models of large dimensions," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 208-238, 03.
  52. Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2013. "Do euro area countries respond asymmetrically to the common monetary policy?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 923, Bank of Italy, Economic Research and International Relations Area.
  53. Igan, Deniz & Kabundi, Alain & Nadal De Simone, Francisco & Pinheiro, Marcelo & Tamirisa, Natalia, 2011. "Housing, credit, and real activity cycles: Characteristics and comovement," Journal of Housing Economics, Elsevier, Elsevier, vol. 20(3), pages 210-231, September.
  54. Bank for International Settlements, 2008. "Measuring economic integration: the case of Asian economies," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 136-158 Bank for International Settlements.
  55. Lucrezia Reichlin, 2003. "Factor models in large cross sections of time series," ULB Institutional Repository 2013/10179, ULB -- Universite Libre de Bruxelles.
  56. Calista Cheung & Frédérick Demers, 2007. "Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation," Working Papers, Bank of Canada 07-8, Bank of Canada.
  57. M. Hashem Pesaran & Paolo Zaffaroni, 2008. "Optimal Asset Allocation with Factor Models for Large Portfolios," CESifo Working Paper Series 2326, CESifo Group Munich.
  58. D''Agostino, Antonello & Giannone, Domenico, 2007. "Comparing Alternative Predictors Based on Large-Panel Factor Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6564, C.E.P.R. Discussion Papers.
  59. Andrew Clare & Richard Priestley, . "Risk factors in the Malaysian stock market," CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University 97-03, Economics and Finance Section, School of Social Sciences, Brunel University.
  60. Hallin, Marc & Lippi, Marco, 2013. "Factor models in high-dimensional time series—A time-domain approach," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 123(7), pages 2678-2695.
  61. Phelim P. Boyle & Chenghu Ma, 2013. "Mean-Preserving-Spread Risk Aversion and The CAPM," Papers 2013-10-14, Working Paper.
  62. Ouysse, Rachida & Kohn, Robert, 2010. "Bayesian variable selection and model averaging in the arbitrage pricing theory model," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(12), pages 3249-3268, December.
  63. Lima, Luiz Renato Regis de Oliveira & Issler, João Victor, 2007. "A Panel Data Approach to Economic Forecasting: The Bias-Corrected Average Forecast," Economics Working Papers (Ensaios Economicos da EPGE) 650, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  64. Donald W.K. Andrews, 2003. "Cross-section Regression with Common Shocks," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1428, Cowles Foundation for Research in Economics, Yale University.
  65. Andrea Vedolin, 2012. "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 43091, London School of Economics and Political Science, LSE Library.
  66. Francisco Penaranda, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24481, London School of Economics and Political Science, LSE Library.
  67. Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," SFB 649 Discussion Papers SFB649DP2014-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  68. Pilar Poncela & Esther Ruiz, 2012. "More is not always better : back to the Kalman filter in dynamic factor models," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws122317, Universidad Carlos III, Departamento de Estadística y Econometría.
  69. John Galbraith & Victoria Zinde-Walsh, 2011. "Partially Dimension-Reduced Regressions with Potentially Infinite-Dimensional Processes," CIRANO Working Papers, CIRANO 2011s-57, CIRANO.
  70. Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2007. "Opening the black box: structural factor models with large cross-sections," Working Paper Series, European Central Bank 0712, European Central Bank.
  71. Nawalkha, Sanjay K., 1997. "A multibeta representation theorem for linear asset pricing theories," Journal of Financial Economics, Elsevier, Elsevier, vol. 46(3), pages 357-381, December.
  72. Almeida, Caio & Garcia, René, 2012. "Assessing misspecified asset pricing models with empirical likelihood estimators," Journal of Econometrics, Elsevier, Elsevier, vol. 170(2), pages 519-537.
  73. Eickmeier, Sandra & Hofmann, Boris, 2010. "Monetary policy, housing booms and financial (im)balances," Discussion Paper Series 1: Economic Studies 2010,07, Deutsche Bundesbank, Research Centre.
  74. Christophe Morel, 2001. "Stock selection using a multi-factor model - empirical evidence from the French stock market," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(4), pages 312-334.
  75. Mario Forni & Luca Gambetti, 2010. "Fiscal Foresight and the Effects of Government Spending," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics 049, University of Modena and Reggio E., Dept. of Economics.
  76. Ba Chu, 2012. "Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios," Annals of Finance, Springer, Springer, vol. 8(1), pages 97-122, February.
  77. Goyal, Amit & Pérignon, Christophe & Villa, Christophe, 2008. "How common are common return factors across the NYSE and Nasdaq?," Journal of Financial Economics, Elsevier, Elsevier, vol. 90(3), pages 252-271, December.
  78. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working papers, University of Connecticut, Department of Economics 2009-42, University of Connecticut, Department of Economics.
  79. Travaglini, Guido, 2011. "Principal Components and Factor Analysis. A Comparative Study," MPRA Paper 35486, University Library of Munich, Germany.
  80. Peter Karlsson, 2011. "The Incompleteness Problem of the APT Model," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 38(2), pages 129-151, August.
  81. Jon Wongswan, 2003. "Contagion: an empirical test," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 775, Board of Governors of the Federal Reserve System (U.S.).
  82. Necati Tekatli, 2007. "Generalized Factor Models: A Bayesian Approach," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) 730.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  83. Robert Engle & Neil Shephard & Kevin Shepphard, 2008. "Fitting vast dimensional time-varying covariance models," OFRC Working Papers Series, Oxford Financial Research Centre 2008fe30, Oxford Financial Research Centre.
  84. Natalia Bailey & Sean Holly & N. Hashem Pesaran, 2013. "A Two Stage Approach to Spatiotemporal Analysis with Strong and weak cross Sectional Dependence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 1362, Faculty of Economics, University of Cambridge.
  85. Bai, Jushan & Li, Kunpeng, 2012. "Maximum likelihood estimation and inference for approximate factor models of high dimension," MPRA Paper 42099, University Library of Munich, Germany, revised 19 Oct 2012.
  86. De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to principal components?," Working Paper Series, European Central Bank 0700, European Central Bank.
  87. Konomi Tonogi & Jun-ichi Nakamura & Kazumi Asako, 2014. "Heterogeneity of Capital Stocks in Japan: Classification by Factor Analysis," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, ScientificPapers.org, vol. 4(2), pages 10, April.
  88. Francisco Craveiro Dias & Maximiano Pinheiro & António Rua, 2008. "Determining the number of factors in approximate factor models with global and group-specific factors," Working Papers, Banco de Portugal, Economics and Research Department w200809, Banco de Portugal, Economics and Research Department.
  89. Lam, Keith S. K., 2002. "The relationship between size, book-to-market equity ratio, earnings-price ratio, and return for the Hong Kong stock market," Global Finance Journal, Elsevier, vol. 13(2), pages 163-179.
  90. Lo, Andrew W & Wang, Jiang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 13(2), pages 257-300.
  91. Khan, A. & Sun, Y., 2000. "Asymptotic Arbitrage and the APT with or Without Measure-Theoretic Structures," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1) 2000.81, Université Panthéon-Sorbonne (Paris 1).
  92. Attiya Y. Javed, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE-Working Papers, Pakistan Institute of Development Economics 2000:179, Pakistan Institute of Development Economics.
  93. Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers, CIRANO 95s-16, CIRANO.
  94. Ferson, Wayne E. & Harvey, Campbell R., 1994. "Sources of risk and expected returns in global equity markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 18(4), pages 775-803, September.
  95. Abdullah Al-Hassan, 2009. "A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle," IMF Working Papers 09/73, International Monetary Fund.
  96. Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2013. "Risks of large portfolios," MPRA Paper 44206, University Library of Munich, Germany.
  97. Peter Kugler & Beatrice Weder, 2004. "International Portfolio Holdings and Swiss Franc Asset Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 301-325, September.
  98. Bai, Jushan & Ando, Tomohiro, 2013. "Panel data models with grouped factor structure under unknown group membership," MPRA Paper 52782, University Library of Munich, Germany.
  99. Pin-Huang Chou & Robert P. Parks, 1993. "A Further Re-Examination of the Contrarian Investment Strategy: Evidence from Multivariate Tests," Finance, EconWPA 9307001, EconWPA, revised 25 Jul 1993.
  100. Chen, Kim Heng & Jandhyala, Venkata K. & Fotopoulos, Stergios B., 2005. "Nonlinear Properties of Multifactor Financial Models," Review of Applied Economics, Review of Applied Economics, Review of Applied Economics, vol. 1(2).
  101. Croux, Christophe & Renault, Eric & Werker, Bas, 2004. "Dynamic factor models," Journal of Econometrics, Elsevier, Elsevier, vol. 119(2), pages 223-230, April.
  102. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing specification errors in stochastic discount factor models," Staff Report, Federal Reserve Bank of Minneapolis 167, Federal Reserve Bank of Minneapolis.
  103. Bork, Lasse, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  104. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
  105. Til Schuermann & Kevin J. Stiroh, 2006. "Visible and hidden risk factors for banks," Staff Reports, Federal Reserve Bank of New York 252, Federal Reserve Bank of New York.
  106. Knut Are Aastveit & Tørres G. Trovik, 2008. "Nowcasting Norwegian GDP: The role of asset prices in a small open economy," Working Paper, Norges Bank 2007/09, Norges Bank.
  107. Viktor Todorov & Tim Bollerslev, 2007. "Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks," CREATES Research Papers 2007-15, School of Economics and Management, University of Aarhus.
  108. Heaton, Chris & Solo, Victor, 2012. "Estimation of high-dimensional linear factor models with grouped variables," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 105(1), pages 348-367.
  109. Bai, Jushan & Liao, Yuan, 2012. "Efficient Estimation of Approximate Factor Models," MPRA Paper 41558, University Library of Munich, Germany.
  110. Eickmeier, Sandra & Kühnlenz, Markus, 2013. "China's role in global inflation dynamics," Discussion Papers 07/2013, Deutsche Bundesbank, Research Centre.
  111. Francisco Nadal-De Simone & Alain N. Kabundi, 2007. "France in the Global Economy," IMF Working Papers 07/129, International Monetary Fund.
  112. Jushan Bai & Serena Ng, 2004. "Evaluating Latent and Observed Factors in Macroeconomics and Financ," Econometrics, EconWPA 0408007, EconWPA.
  113. Rachida Ouysse, 2013. "Forecasting using a large number of predictors: Bayesian model averaging versus principal components regression," Discussion Papers, School of Economics, The University of New South Wales 2013-04, School of Economics, The University of New South Wales.
  114. Francisco Peñaranda, 2009. "Understanding Portfolio Efficiency with Conditioning Information," FMG Discussion Papers, Financial Markets Group dp626, Financial Markets Group.
  115. Matteo Barigozzi & Alessio Moneta, 2012. "Identifying the Independent Sources of Consumption Variation," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy 2012/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  116. Antoniou, Antonios & Garrett, Ian & Priestley, Richard, 1998. "Calculating the equity cost of capital using the APT: the impact of the ERM," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(6), pages 949-965, December.
  117. Sainan Jin & Liangjun Su & Yonghui Zhang, 2014. "Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models," Working Papers, Singapore Management University, School of Economics 09-2014, Singapore Management University, School of Economics.
  118. Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.
  119. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy 2006/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  120. Boivin, Jean & Ng, Serena, 2006. "Are more data always better for factor analysis?," Journal of Econometrics, Elsevier, Elsevier, vol. 132(1), pages 169-194, May.
  121. Mario Forni & Luca Gambetti, 2008. "The dynamic e ects of monetary policy: A structural factor model approach," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics 026, University of Modena and Reggio E., Dept. of Economics.
  122. Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, Elsevier, vol. 87(1), pages 45-72, January.
  123. Eickmeier, Sandra, 2009. "Analyse der Ãœbertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR," Discussion Paper Series 1: Economic Studies 2009,35, Deutsche Bundesbank, Research Centre.
  124. Massimiliano Marcellino & George Kapetanios, 2006. "The Role of Search Frictions and Bargaining for Inflation Dynamics," Working Papers 305, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  125. Chris Heaton & Victor Solo, 2000. "Dynamic Factor Analysis with ARMA Factors," Econometric Society World Congress 2000 Contributed Papers 0145, Econometric Society.
  126. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES, ULB -- Universite Libre de Bruxelles 2009_023, ULB -- Universite Libre de Bruxelles.
  127. Bai, Jushan & Li, Kunpeng, 2013. "Spatial panel data models with common shocks," MPRA Paper 52786, University Library of Munich, Germany, revised 09 Mar 2014.
  128. Cristadoro, Riccardo & Forni, Mario & Reichlin, Lucrezia & Veronese, Giovanni, 2001. "A Core Inflation Index for the Euro Area," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3097, C.E.P.R. Discussion Papers.
  129. Seung C. Ahn & Young H. Lee & Peter Schmidt, 2006. "Panel Data Models with Multiple Time-Varying Individual Effects," Working Papers, University of Crete, Department of Economics 0702, University of Crete, Department of Economics.
  130. Marc Hallin & Mario Forni & Marco Lippi & Lucrezia Reichlin, 2003. "Do financial variables help forecasting inflation and real activity in the Euro area ?," ULB Institutional Repository 2013/2123, ULB -- Universite Libre de Bruxelles.
  131. Michael Rothschild, 1985. "Asset Pricing Theories," NBER Technical Working Papers 0044, National Bureau of Economic Research, Inc.
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