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Rachida Ouysse

Personal Details

First Name:Rachida
Middle Name:
Last Name:Ouysse
Suffix:
RePEc Short-ID:pou17
Terminal Degree:2003 Department of Economics; Boston College (from RePEc Genealogy)

Affiliation

Center for Applied Economic Research (CAER)
UNSW Business School
UNSW Sydney

Sydney, Australia
https://www.unsw.edu.au/business/our-research/research-centres-institutes/centre-for-applied-economic-research
RePEc:edi:canswau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Rachida Ouysse, 2020. "Asset pricing with endogenous state-dependent risk aversion," Discussion Papers 2020-04, School of Economics, The University of New South Wales.
  2. Rachida Ouysse, 2017. "Constrained principal components estimation of large approximate factor models," Discussion Papers 2017-12, School of Economics, The University of New South Wales.
  3. Rachida Ouysse, 2013. "Forecasting using a large number of predictors: Bayesian model averaging versus principal components regression," Discussion Papers 2013-04, School of Economics, The University of New South Wales.
  4. Rachida Ouysse, 2011. "Comparison of Bayesian moving Average and Principal Component Forecast for Large Dimensional Factor Models," Discussion Papers 2012-03, School of Economics, The University of New South Wales.
  5. Rachida Ouysse & Chris Nicholas, 2008. "Time Varying Determinants of Cross-Country Growth," Discussion Papers 2008-03, School of Economics, The University of New South Wales.
  6. Robert Kohn & Rachida Ouysse, 2007. "Bayesian Variable Selection of Risk Factors in the APT Model," Discussion Papers 2007-32, School of Economics, The University of New South Wales.

Articles

  1. Song Shi & Vince Mangioni & Xin Janet Ge & Shanaka Herath & Fethi Rabhi & Rachida Ouysse, 2021. "House Price Forecasting from Investment Perspectives," Land, MDPI, vol. 10(10), pages 1-17, September.
  2. Ouysse, Rachida, 2016. "Bayesian model averaging and principal component regression forecasts in a data rich environment," International Journal of Forecasting, Elsevier, vol. 32(3), pages 763-787.
  3. Rachida Ouysse, 2014. "On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models," Computational Statistics, Springer, vol. 29(1), pages 233-261, February.
  4. Rachida Ouysse, 2011. "Computationally efficient approximation for the double bootstrap mean bias correction," Economics Bulletin, AccessEcon, vol. 31(3), pages 2388-2403.
  5. Ouysse, Rachida & Kohn, Robert, 2010. "Bayesian variable selection and model averaging in the arbitrage pricing theory model," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3249-3268, December.
  6. Rachida Ouysse, 2006. "Introduction to the Mathematical and Statistical Foundations of Econometrics by Herman J. Bierens," The Economic Record, The Economic Society of Australia, vol. 82(257), pages 230-231, June.
  7. Ouysse, Rachida, 2006. "Consistent variable selection in large panels when factors are observable," Journal of Multivariate Analysis, Elsevier, vol. 97(4), pages 946-984, April.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Rachida Ouysse, 2013. "Forecasting using a large number of predictors: Bayesian model averaging versus principal components regression," Discussion Papers 2013-04, School of Economics, The University of New South Wales.

    Mentioned in:

    1. Summer Reading
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2013-07-03 03:16:00

Working papers

  1. Rachida Ouysse, 2011. "Comparison of Bayesian moving Average and Principal Component Forecast for Large Dimensional Factor Models," Discussion Papers 2012-03, School of Economics, The University of New South Wales.

    Cited by:

    1. Danilo Cascaldi-Garcia & Matteo Luciani & Michele Modugno, 2023. "Lessons from Nowcasting GDP across the World," International Finance Discussion Papers 1385, Board of Governors of the Federal Reserve System (U.S.).
    2. Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013. "Now-Casting and the Real-Time Data Flow," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 195-237, Elsevier.

  2. Robert Kohn & Rachida Ouysse, 2007. "Bayesian Variable Selection of Risk Factors in the APT Model," Discussion Papers 2007-32, School of Economics, The University of New South Wales.

    Cited by:

    1. Rachida Ouysse & Chris Nicholas, 2008. "Time Varying Determinants of Cross-Country Growth," Discussion Papers 2008-03, School of Economics, The University of New South Wales.

Articles

  1. Song Shi & Vince Mangioni & Xin Janet Ge & Shanaka Herath & Fethi Rabhi & Rachida Ouysse, 2021. "House Price Forecasting from Investment Perspectives," Land, MDPI, vol. 10(10), pages 1-17, September.

    Cited by:

    1. Nuri Hacıevliyagil & Krzysztof Drachal & Ibrahim Halil Eksi, 2022. "Predicting House Prices Using DMA Method: Evidence from Turkey," Economies, MDPI, vol. 10(3), pages 1-27, March.

  2. Ouysse, Rachida, 2016. "Bayesian model averaging and principal component regression forecasts in a data rich environment," International Journal of Forecasting, Elsevier, vol. 32(3), pages 763-787.

    Cited by:

    1. Guarin, Alexander & Lozano, Ignacio, 2017. "Credit funding and banking fragility: A forecasting model for emerging economies," Emerging Markets Review, Elsevier, vol. 32(C), pages 168-189.
    2. Steel, Mark F. J., 2017. "Model Averaging and its Use in Economics," MPRA Paper 90110, University Library of Munich, Germany, revised 16 Nov 2018.

  3. Ouysse, Rachida & Kohn, Robert, 2010. "Bayesian variable selection and model averaging in the arbitrage pricing theory model," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3249-3268, December.

    Cited by:

    1. Rachida Ouysse, 2011. "Comparison of Bayesian moving Average and Principal Component Forecast for Large Dimensional Factor Models," Discussion Papers 2012-03, School of Economics, The University of New South Wales.
    2. Massimo Guidolin & Francesco Ravazzolo & Andrea Tortora, 2014. "Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 477-523, November.
    3. Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns," Working Paper 2011/19, Norges Bank.
    4. Ouysse, Rachida, 2016. "Bayesian model averaging and principal component regression forecasts in a data rich environment," International Journal of Forecasting, Elsevier, vol. 32(3), pages 763-787.
    5. Guidolin, Massimo & Ravazzolo, Francesco & Tortora, Andrea Donato, 2013. "Alternative econometric implementations of multi-factor models of the U.S. financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 87-111.
    6. Carmine Trecroci, 2010. "Multifactors risk loadings and abnormal returns under uncertainty and learning," Working Papers 1011, University of Brescia, Department of Economics.
    7. Bettina Grün & Paul Hofmarcher, 2021. "Identifying groups of determinants in Bayesian model averaging using Dirichlet process clustering," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(3), pages 1018-1045, September.
    8. Magnus, Jan R. & Wan, Alan T.K. & Zhang, Xinyu, 2011. "Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1331-1341, March.
    9. Faruque, Muhammad U, 2011. "An empirical investigation of the arbitrage pricing theory in a frontier stock market: evidence from Bangladesh," MPRA Paper 38675, University Library of Munich, Germany.

  4. Ouysse, Rachida, 2006. "Consistent variable selection in large panels when factors are observable," Journal of Multivariate Analysis, Elsevier, vol. 97(4), pages 946-984, April.

    Cited by:

    1. Rachida Ouysse, 2011. "Comparison of Bayesian moving Average and Principal Component Forecast for Large Dimensional Factor Models," Discussion Papers 2012-03, School of Economics, The University of New South Wales.
    2. Robert Kohn & Rachida Ouysse, 2007. "Bayesian Variable Selection of Risk Factors in the APT Model," Discussion Papers 2007-32, School of Economics, The University of New South Wales.
    3. Ouysse, Rachida & Kohn, Robert, 2010. "Bayesian variable selection and model averaging in the arbitrage pricing theory model," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3249-3268, December.
    4. Wu, Fan & Wang, Guan-jun & Kong, Xin-bing, 2022. "Inference on common intraday periodicity at high frequencies," Statistics & Probability Letters, Elsevier, vol. 191(C).

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ORE: Operations Research (3) 2008-02-09 2017-04-23 2020-06-15
  2. NEP-ECM: Econometrics (2) 2013-06-16 2017-04-23
  3. NEP-FOR: Forecasting (2) 2013-06-16 2017-04-23
  4. NEP-DGE: Dynamic General Equilibrium (1) 2020-06-15
  5. NEP-FMK: Financial Markets (1) 2008-02-09
  6. NEP-MAC: Macroeconomics (1) 2008-02-16
  7. NEP-UPT: Utility Models and Prospect Theory (1) 2020-06-15

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