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

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  1. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," Working Papers ECARES, ULB -- Universite Libre de Bruxelles ECARES 2011-019, ULB -- Universite Libre de Bruxelles.
  2. 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).
  3. Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.
  4. 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.
  5. Haruo Iwakura & Ryo Okui, 2014. "Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models," KIER Working Papers, Kyoto University, Institute of Economic Research 887, Kyoto University, Institute of Economic Research.
  6. Fernald, John G. & Spiegel, Mark M. & Swanson, Eric T., 2014. "Monetary policy effectiveness in China: evidence from a FAVAR model," Working Paper Series, Federal Reserve Bank of San Francisco 2014-7, Federal Reserve Bank of San Francisco.
  7. Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 535, Barcelona Graduate School of Economics.
  8. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series, Oxford Financial Research Centre 2004fe02, Oxford Financial Research Centre.
  9. 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.
  10. Abdullah Al-Hassan, 2009. "A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle," IMF Working Papers 09/73, International Monetary Fund.
  11. repec:wyi:wpaper:001969 is not listed on IDEAS
  12. 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.
  13. 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.
  14. Gupta, Rangan & Kabundi, Alain & Miller, Stephen M., 2011. "Forecasting the US real house price index: Structural and non-structural models with and without fundamentals," Economic Modelling, Elsevier, Elsevier, vol. 28(4), pages 2013-2021, July.
  15. Connor, Gregory & Korajczyk, Robert A. & Linton, Oliver, 2006. "The common and specific components of dynamic volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 132(1), pages 231-255, May.
  16. Chris Heaton & Victor Solo, 2000. "Dynamic Factor Analysis with ARMA Factors," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0145, Econometric Society.
  17. Wayne E. Ferson & Campbell R. Harvey, 1994. "Sources of Risk and Expected Returns in Global Equity Markets," NBER Working Papers 4622, National Bureau of Economic Research, Inc.
  18. Kajal Lahiri & Fushang Liu, 2006. "Modeling Multi-Period Inflation Uncertainty Using a Panel of Density Forcasts," Discussion Papers, University at Albany, SUNY, Department of Economics 06-05, University at Albany, SUNY, Department of Economics.
  19. 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.
  20. Carrasco, Marine, 2012. "A regularization approach to the many instruments problem," Journal of Econometrics, Elsevier, Elsevier, vol. 170(2), pages 383-398.
  21. 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.
  22. 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.
  23. 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.
  24. Jianqing Fan & Yuan Liao & Xiaofeng Shi, 2013. "Risks of Large Portfolios," Papers 1302.0926, arXiv.org.
  25. Antonio Diez de los Rios, 2007. "Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets," Working Papers, Bank of Canada 07-29, Bank of Canada.
  26. 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.
  27. Huang, Roger D. & Jo, Hoje, 1995. "Data frequency and the number of factors in stock returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 19(6), pages 987-1003, September.
  28. Bai, Jushan & Li, Kunpeng, 2010. "Theory and methods of panel data models with interactive effects," MPRA Paper 43441, University Library of Munich, Germany, revised Dec 2012.
  29. John Geweke & Guofu Zhou, 1995. "Measuring the pricing error of the arbitrage pricing theory," Staff Report, Federal Reserve Bank of Minneapolis 189, Federal Reserve Bank of Minneapolis.
  30. Sentana, Enrique, 2004. "Factor representing portfolios in large asset markets," Journal of Econometrics, Elsevier, Elsevier, vol. 119(2), pages 257-289, April.
  31. 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.
  32. Paolo Zaffaroni, 2000. "Contemporaneous Aggregation of GARCH Processes," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2000/378, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  33. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Journal of Econometrics, Elsevier, Elsevier, vol. 164(1), pages 188-205, September.
  34. 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.
  35. Eickmeier, Sandra & Ng, Tim, 2009. "Forecasting national activity using lots of international predictors: an application to New Zealand," Discussion Paper Series 1: Economic Studies 2009,11, Deutsche Bundesbank, Research Centre.
  36. Jan J. J. Groen & George Kapetanios, 2008. "Revisiting useful approaches to data-rich macroeconomic forecasting," Staff Reports, Federal Reserve Bank of New York 327, Federal Reserve Bank of New York.
  37. Natalia Bailey & Sean Holly & M. Hashem Pesaran, 2014. "A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence," CESifo Working Paper Series 4592, CESifo Group Munich.
  38. Francisco Nadal-De Simone & Alain N. Kabundi, 2007. "France in the Global Economy," IMF Working Papers 07/129, International Monetary Fund.
  39. 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.
  40. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers, CIRANO 2004s-04, CIRANO.
  41. 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).
  42. 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.
  43. Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2005. "Yet another look at mutual fund tournaments," Open Access publications from Tilburg University urn:nbn:nl:ui:12-167598, Tilburg University.
  44. Kapetanios, G. & Pesaran, M.H., 2005. "Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0520, Faculty of Economics, University of Cambridge.
  45. Hanson, Samuel G. & Pesaran, M. Hashem & Schuermann, Til, 2008. "Firm heterogeneity and credit risk diversification," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(4), pages 583-612, September.
  46. 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.
  47. Leger, Lawrence & Leone, Vitor, 2008. "Changes in the risk structure of stock returns: Consumer Confidence and the dotcom bubble," Review of Financial Economics, Elsevier, Elsevier, vol. 17(3), pages 228-244, August.
  48. Martijn Cremers & Jianping Mei, 2004. "Turning Over Turnover," Yale School of Management Working Papers, Yale School of Management ysm429, Yale School of Management, revised 01 May 2008.
  49. Todorov, Viktor & Bollerslev, Tim, 2010. "Jumps and betas: A new framework for disentangling and estimating systematic risks," Journal of Econometrics, Elsevier, Elsevier, vol. 157(2), pages 220-235, August.
  50. 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.
  51. M. Hashem Pesaran & Paolo Zaffaroni, 2009. "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series 2857, CESifo Group Munich.
  52. Fan, Jianqing & Liao, Yuan & Mincheva, Martina, 2011. "Large covariance estimation by thresholding principal orthogonal complements," MPRA Paper 38697, University Library of Munich, Germany.
  53. Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic factor models," AStA Advances in Statistical Analysis, Springer, Springer, vol. 90(1), pages 27-42, March.
  54. 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.
  55. 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.
  56. 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.
  57. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc.
  58. 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.
  59. Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2013. "Understanding global liquidity," Discussion Papers 03/2013, Deutsche Bundesbank, Research Centre.
  60. 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.
  61. 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.
  62. Hyungsik Roger Moon & Martin Weidner, 2013. "Dynamic linear panel regression models with interactive fixed effects," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP63/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  63. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2003. "Do financial variables help forecasting inflation and real activity in the euro area?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 50(6), pages 1243-1255, September.
  64. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, School of Economics and Management, University of Aarhus.
  65. Luca Gambetti, 2010. "Fiscal Policy, Foresight and the Trade Balance in the U.S," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) 852.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  66. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2003. "The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy 2003/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  67. 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.
  68. Enrique Sentana, 2008. "The Econometrics Of Mean-Variance Efficiency Tests: A Survey," Working Papers, CEMFI wp2008_0807, CEMFI.
  69. 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.
  70. Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," Discussion Papers of DIW Berlin 1351, DIW Berlin, German Institute for Economic Research.
  71. Christiane Baumeister & Philip Liu & Haroon Mumtaz, 2012. "Changes in the Effects of Monetary Policy on Disaggregate Price Dynamics," Working Papers, Bank of Canada 12-13, Bank of Canada.
  72. 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.
  73. G. Kapetanios & M. Hashem Pesaran & T. Yamagata, 2010. "Panels with nonstationary multifactor error structures," Post-Print, HAL peer-00768190, HAL.
  74. 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.
  75. Forni, Mario & Gambetti, Luca, 2010. "Fiscal Foresight and the Effects of Goverment Spending," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7840, C.E.P.R. Discussion Papers.
  76. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute, revised 20 Mar 2014.
  77. 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.).
  78. Sandra Eickmeier, 2010. "Analyse der Uebertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 230(5), pages 571-600, October.
  79. M. Hashem Pesaran & Elisa Tosetti, 2011. "Large panels with common factors and spatial correlation," Post-Print, HAL peer-00796743, HAL.
  80. Enrique Sentana & Francisco Penaranda, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," FMG Discussion Papers, Financial Markets Group dp497, Financial Markets Group.
  81. 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.
  82. 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.
  83. 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.
  84. M. Hashem Pesaran & Paolo Zaffaroni, 2008. "Optimal Asset Allocation with Factor Models for Large Portfolios," CESifo Working Paper Series 2326, CESifo Group Munich.
  85. Francisco Peñaranda, 2009. "Understanding portfolio efficiency with conditioning information," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1146, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2011.
  86. Holly, S. & Pesaran, M.H. & Yamagata. T., 2006. "A Spatio-Temporal Model of House Prices in the US," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0654, Faculty of Economics, University of Cambridge.
  87. 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.
  88. 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.
  89. Christine De Mol & Domenico Giannone & Lucrezia Reichlin, 2008. "Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?," ULB Institutional Repository 2013/6411, ULB -- Universite Libre de Bruxelles.
  90. Bai, Jushan & Ng, Serena, 2006. "Evaluating latent and observed factors in macroeconomics and finance," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 507-537.
  91. Eickmeier, Sandra & Kühnlenz, Markus, 2013. "China's role in global inflation dynamics," Discussion Papers 07/2013, Deutsche Bundesbank, Research Centre.
  92. Gilbert, Paul D. & Meijer, Erik, 2005. "Time Series Factor Analysis with an Application to Measuring Money," Research Report 05F10, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  93. GARCIA, René & RENAULT, Éric, 2000. "Latent Variable Models for Stochastic Discount Factors," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2000-01, Universite de Montreal, Departement de sciences economiques.
  94. Bai, Jushan & Ando, Tomohiro, 2013. "Panel data models with grouped factor structure under unknown group membership," MPRA Paper 52782, University Library of Munich, Germany.
  95. 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.
  96. Michel Beine & Bertrand Candelon & Jan Piplack, 2009. "Comovements of returns and volatility in international stock markets: a high-frequency approach," Working Papers, Utrecht School of Economics 09-10, Utrecht School of Economics.
  97. Hallin, Marc & Liska, Roman, 2011. "Dynamic factors in the presence of blocks," Journal of Econometrics, Elsevier, Elsevier, vol. 163(1), pages 29-41, July.
  98. 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.
  99. Angelini, Elena & Henry, Jérôme & Marcellino, Massimiliano, 2004. "Interpolation and Backdating with A Large Information Set," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4533, C.E.P.R. Discussion Papers.
  100. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy 2006/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  101. Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 1999. "The alpha factor asset pricing model: A parable," Journal of Financial Markets, Elsevier, Elsevier, vol. 2(1), pages 49-68, February.
  102. 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.
  103. Bai, Jushan & Li, Kunpeng, 2013. "Spatial panel data models with common shocks," MPRA Paper 52786, University Library of Munich, Germany, revised 09 Mar 2014.
  104. Sandra Eickmeier, 2009. "Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 24(6), pages 933-959.
  105. J. Ginger Meng & Gang Hu & Jushan Bai, 2011. "Olive: A Simple Method For Estimating Betas When Factors Are Measured With Error," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, Southern Finance Association;Southwestern Finance Association, vol. 34(1), pages 27-60, 03.
  106. Michael T. Owyang & David E. Rapach & Howard J. Wall, 2008. "States and the business cycle," Working Papers, Federal Reserve Bank of St. Louis 2007-050, Federal Reserve Bank of St. Louis.
  107. Choi, In, 2012. "Efficient Estimation Of Factor Models," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 28(02), pages 274-308, April.
  108. 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).
  109. Francisco Peñaranda & Enrique Sentana, 2007. "Duality in mean-variance frontiers with conditioning information," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1058, Department of Economics and Business, Universitat Pompeu Fabra.
  110. Bai, Jushan & Liao, Yuan, 2012. "Efficient Estimation of Approximate Factor Models," MPRA Paper 41558, University Library of Munich, Germany.
  111. 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.
  112. Forni, Mario & Lippi, Marco & Reichlin, Lucrezia, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4133, C.E.P.R. Discussion Papers.
  113. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2006. "A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data," Economics Working Papers (Ensaios Economicos da EPGE) 628, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  114. Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers, CIRANO 95s-16, CIRANO.
  115. 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.
  116. Angelo Melino, 1986. "The Term Structure of Interest Rates: Evidence and Theory," NBER Working Papers 1828, National Bureau of Economic Research, Inc.
  117. 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.
  118. Jones, Christopher S., 2001. "Extracting factors from heteroskedastic asset returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 62(2), pages 293-325, November.
  119. Ouysse, Rachida, 2006. "Consistent variable selection in large panels when factors are observable," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 97(4), pages 946-984, April.
  120. Werner, Jan, 1997. "Diversification and Equilibrium in Securities Markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 75(1), pages 89-103, July.
  121. Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version," PIER Working Paper Archive 13-061, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 03 Sep 2013.
  122. 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.
  123. Francisco Peñaranda, 2009. "Understanding portfolio efficiency with conditioning information," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24415, London School of Economics and Political Science, LSE Library.
  124. 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.
  125. 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.
  126. Robert S. Pindyck & Julio J. Rotemberg, 1990. "Do Stock Prices Move Together Too Much?," NBER Working Papers 3324, National Bureau of Economic Research, Inc.
  127. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
  128. Eichengreen, Barry & Mody, Ashoka & Nedeljkovic, Milan & Sarno, Lucio, 2012. "How the Subprime Crisis went global: Evidence from bank credit default swap spreads," Journal of International Money and Finance, Elsevier, Elsevier, vol. 31(5), pages 1299-1318.
  129. Viktors Ajevskis & Gundars Davidsons, 2008. "Dynamic Factor Models in Forecasting Latvia's Gross Domestic Product," Working Papers, Latvijas Banka 2008/02, Latvijas Banka.
  130. Kabundi, Alain & Nadal De Simone, Francisco, 2012. "Recent French relative export performance: Is there a competitiveness problem?," Economic Modelling, Elsevier, Elsevier, vol. 29(4), pages 1408-1435.
  131. Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) 850.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
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