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Citations for "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting"

by Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia

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  1. 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, vol. 28(4), pages 2013-2021, July.
  2. Sandra Stankiewicz, 2015. "Forecasting Euro Area Macroeconomic Variables with Bayesian Adaptive Elastic Net," Working Paper Series of the Department of Economics, University of Konstanz 2015-12, Department of Economics, University of Konstanz.
  3. Domenico Giannone & Lucrezia Reichlin & David Small, 2008. "Nowcasting: the real time informational content of macroeconomic data releases," ULB Institutional Repository 2013/6409, ULB -- Universite Libre de Bruxelles.
  4. Marcellino, Massimiliano & Schumacher, Christian, 2007. "Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP," Discussion Paper Series 1: Economic Studies 2007,34, Deutsche Bundesbank, Research Centre.
  5. Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," Center for Economic Research (RECent) 040, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  6. den Reijer, Ard H.J., 2011. "Regional and sectoral dynamics of the Dutch staffing labor cycle," Economic Modelling, Elsevier, vol. 28(4), pages 1826-1837, July.
  7. Antonello D’ Agostino & Domenico Giannone, 2012. "Comparing Alternative Predictors Based on Large‐Panel Factor Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(2), pages 306-326, 04.
  8. Arbués, Ignacio, 2013. "Determining the MSE-optimal cross section to forecast," Journal of Econometrics, Elsevier, vol. 175(2), pages 61-70.
  9. Forni, Mario & Lippi, Marco & Reichlin, Lucrezia, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers.
  10. In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Research Institute for Market Economy, Sogang University, revised Dec 2011.
    • Jörg Breitung & In Choi, 2013. "Factor models," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 11, pages 249-265 Edward Elgar Publishing.
  11. Bellégo, C. & Ferrara, L., 2012. "Macro-financial linkages and business cycles: A factor-augmented probit approach," Economic Modelling, Elsevier, vol. 29(5), pages 1793-1797.
  12. Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2007. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Center for Economic Research (RECent) 008, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  13. Hendry, David F & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers.
  14. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
  15. Sonia de Lucas Santos & M. Jesús Delgado Rodríguez & Inmaculada Álvarez Ayuso & José Luis Cendejas Bueno, 2011. "Los ciclos económicos internacionales: antecedentes y revisión de la literatura," Cuadernos de Economía - Spanish Journal of Economics and Finance, ELSEVIER, vol. 34(95), pages 73-84, Agosto.
  16. Alvarez, Rocio & Camacho, Maximo & Pérez-Quirós, Gabriel, 2012. "Finite sample performance of small versus large scale dynamic factor models," CEPR Discussion Papers 8867, C.E.P.R. Discussion Papers.
  17. Amisano, Gianni & Geweke, John, 2013. "Prediction using several macroeconomic models," Working Paper Series 1537, European Central Bank.
  18. Girardin, Eric & Moussa, Zakaria, 2011. "Quantitative easing works: Lessons from the unique experience in Japan 2001â2006," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 461-495, October.
  19. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2006. "A Two-step estimator for large approximate dynamic factor models based on Kalman filtering," THEMA Working Papers 2006-23, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  20. Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2010. "Are disaggregate data useful for factor analysis in forecasting French GDP?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 132-144.
  21. Anindya Banerjee & Victor Bystrov & Paul Mizen, 2010. "Interest rate pass-through in the major European economies - the role of expectations," Discussion Papers 10-07, Department of Economics, University of Birmingham.
  22. Cheng, Xu & Hansen, Bruce E., 2015. "Forecasting with factor-augmented regression: A frequentist model averaging approach," Journal of Econometrics, Elsevier, vol. 186(2), pages 280-293.
  23. Lehmann, Robert & Wohlrabe, Klaus, 2013. "Sectoral gross value-added forecasts at the regional level: Is there any information gain?," MPRA Paper 46765, University Library of Munich, Germany.
  24. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
  25. Song Song & Wolfgang K. Härdle & Ya'acov Ritov, 2014. "Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series," Econometrics Journal, Royal Economic Society, vol. 17(2), pages 101-131, 06.
  26. Bańbura, Marta & Rünstler, Gerhard, 2011. "A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP," International Journal of Forecasting, Elsevier, vol. 27(2), pages 333-346.
  27. Xisong Jin & Francisco Nadal De Simone, 2016. "Tracking Changes in the Intensity of Financial Sector's Systemic Risk," BCL working papers 102, Central Bank of Luxembourg.
  28. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2010. "Predictable dynamics in implied volatility surfaces from OTC currency options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1175-1188, June.
  29. Carrasco, Marine & Rossi, Barbara, 2016. "In-sample Inference and Forecasting in Misspecified Factor Models," CEPR Discussion Papers 11388, C.E.P.R. Discussion Papers.
  30. Martínez, Wilmer & Nieto, Fabio H. & Poncela, Pilar, 2016. "Choosing a dynamic common factor as a coincident index," Statistics & Probability Letters, Elsevier, vol. 109(C), pages 89-98.
  31. Neusser, Klaus, 2008. "Interdependencies of US manufacturing sectoral TFPs: A spatial VAR approach," Journal of Macroeconomics, Elsevier, vol. 30(3), pages 991-1004, September.
  32. Mario Forni & Luca Gambetti & Luca Sala, 2013. "No News in Business Cycles," Working Papers 491, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  33. Giuseppe Parigi & Roberto Golinelli, 2007. "The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(2), pages 77-94.
  34. Ruiz, Esther & Poncela, Pilar, 2015. "Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment," DES - Working Papers. Statistics and Econometrics. WS ws1502, Universidad Carlos III de Madrid. Departamento de Estadística.
  35. Luca Gambetti, 2010. "Fiscal Policy, Foresight and the Trade Balance in the U.S," Working Papers 505, Barcelona Graduate School of Economics.
  36. Huyn Hak Kim & Norman R. Swanson, 2011. "Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence," Departmental Working Papers 201119, Rutgers University, Department of Economics.
  37. Evren Erdogan Cosar & Sevim Kosem & Cagri Sarikaya, 2013. "Do We Really Need Filters In Estimating Output Gap? : Evidence From Turkey," Working Papers 1333, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  38. Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: an application to German GDP," Discussion Paper Series 1: Economic Studies 2009,03, Deutsche Bundesbank, Research Centre.
  39. Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Working Papers ECARES 2008_012, ULB -- Universite Libre de Bruxelles.
  40. Kevin Moran & Simplice Aime Nono, 2016. "Using Confidence Data to Forecast the Canadian Business Cycle," Cahiers de recherche 1606, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  41. Filippo Altissimo & Benoît Mojon & Paolo Zaffaroni, 2007. "Fast micro and slow macro: can aggregation explain the persistence of inflation?," Working Paper Series WP-07-02, Federal Reserve Bank of Chicago.
  42. Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting the French index of industrial production: A comparison from bridge and factor models," Economic Modelling, Elsevier, vol. 29(6), pages 2174-2182.
  43. Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2007. "New Eurocoin: Tracking Economic Growth in Real Time," Temi di discussione (Economic working papers) 631, Bank of Italy, Economic Research and International Relations Area.
  44. Beck, Günter W. & Hubrich, Kirstin & Marcellino, Massimiliano, 2006. "Regional inflation dynamics within and across euro area countries and a comparison with the US," Working Paper Series 0681, European Central Bank.
  45. Darracq Pariès, Matthieu & Maurin, Laurent, 2008. "The role of country-specific trade and survey data in forecasting euro area manufacturing production: perspective from large panel factor models," Working Paper Series 0894, European Central Bank.
  46. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
  47. Bicu A.C. & Lieb L.M., 2015. "Cross-border effects of fiscal policy in the Eurozone," Research Memorandum 019, Maastricht University, Graduate School of Business and Economics (GSBE).
  48. 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).
  49. Lasse Bork & Hans Dewachter & Romain Houssa, 2009. "Identification of Macroeconomic Factors in Large Panels," CREATES Research Papers 2009-43, Department of Economics and Business Economics, Aarhus University.
  50. Poncela, Pilar & Rodríguez, Julio & Sánchez-Mangas, Rocío & Senra, Eva, 2011. "Forecast combination through dimension reduction techniques," International Journal of Forecasting, Elsevier, vol. 27(2), pages 224-237.
  51. Eliana González, 2011. "Forecasting With Many Predictors. An Empirical Comparison," BORRADORES DE ECONOMIA 007996, BANCO DE LA REPÚBLICA.
  52. Bräuning, Falk & Koopman, Siem Jan, 2014. "Forecasting macroeconomic variables using collapsed dynamic factor analysis," International Journal of Forecasting, Elsevier, vol. 30(3), pages 572-584.
  53. Matteo Luciani & Libero Monteforte, 2013. "Uncertainty and heterogeneity in factor models forecasting," Temi di discussione (Economic working papers) 930, Bank of Italy, Economic Research and International Relations Area.
  54. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2008. "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," CEPR Discussion Papers 6706, C.E.P.R. Discussion Papers.
  55. Zura Kakushadze, 2015. "Heterotic Risk Models," Papers 1508.04883, arXiv.org, revised Jan 2016.
  56. Norman R. Swanson & Nii Ayi Armah, 2011. "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments," Departmental Working Papers 201105, Rutgers University, Department of Economics.
  57. João Valle e Azevedo & Ana Pereira, 2008. "Approximating and Forecasting Macroeconomic Signals in Real-Time," Working Papers w200819, Banco de Portugal, Economics and Research Department.
  58. Groen, Jan J.J. & Kapetanios, George, 2016. "Revisiting useful approaches to data-rich macroeconomic forecasting," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 221-239.
  59. Heaton, Chris & Solo, Victor, 2012. "Estimation of high-dimensional linear factor models with grouped variables," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 348-367.
  60. Hallin, Marc & Mathias, Charles & Pirotte, Hugues & Veredas, David, 2011. "Market liquidity as dynamic factors," Journal of Econometrics, Elsevier, vol. 163(1), pages 42-50, July.
  61. G. Rünstler & K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze, 2008. "Short-Term Forecasting of GDP Using Large Monthly Datasets: A Pseudo Real-Time Forecast Evaluation Exercise," Bank of Lithuania Working Paper Series 1, Bank of Lithuania.
  62. Schumacher, Christian, 2005. "Forecasting German GDP using alternative factor models based on large datasets," Discussion Paper Series 1: Economic Studies 2005,24, Deutsche Bundesbank, Research Centre.
  63. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2012. "Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations," Working Papers ECARES ECARES 2012-046, ULB -- Universite Libre de Bruxelles.
  64. Tóth, Peter, 2017. "Nowcasting Slovak GDP by a Small Dynamic Factor Model," MPRA Paper 77245, University Library of Munich, Germany.
  65. Viktors Ajevskis & Gundars Davidsons, 2008. "Dynamic Factor Models in Forecasting Latvia's Gross Domestic Product," Working Papers 2008/02, Latvijas Banka.
  66. Gaglianone, Wagner Piazza & Issler, João Victor, 2015. "Microfounded forecasting," Economics Working Papers (Ensaios Economicos da EPGE) 766, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  67. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2002. "Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area?," CEPR Discussion Papers 3146, C.E.P.R. Discussion Papers.
  68. Schanne, Norbert, 2015. "A Global Vector Autoregression (GVAR) model for regional labour markets and its forecasting performance with leading indicators in Germany," IAB Discussion Paper 201513, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
  69. Jennifer Castle & David Hendry, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
  70. Issler, João Victor & Lima, Luiz Renato, 2009. "A panel data approach to economic forecasting: The bias-corrected average forecast," Journal of Econometrics, Elsevier, vol. 152(2), pages 153-164, October.
  71. Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017. "Measuring uncertainty in the stock market," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 18-33.
  72. Chris Bloor & Troy Matheson, 2010. "Analysing shock transmission in a data-rich environment: a large BVAR for New Zealand," Empirical Economics, Springer, vol. 39(2), pages 537-558, October.
  73. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2016. "Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis," EIEF Working Papers Series 1607, Einaudi Institute for Economics and Finance (EIEF), revised Apr 2016.
  74. Jacopo Cimadomo & Agnès Bénassy-Quéré, 2012. "Changing Patterns of Fiscal Policy Multipliers in Germany, the UK and the US," PSE - Labex "OSE-Ouvrir la Science Economique" hal-00966144, HAL.
  75. Domenico Giannone & Troy Matheson, 2006. "A new core inflation indicator for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2006/02, Reserve Bank of New Zealand.
  76. Yannick Le Pen & Benoît Sévi, 2013. "Futures Trading and the Excess Comovement of Commodity Prices," AMSE Working Papers 1301, Aix-Marseille School of Economics, Marseille, France, revised Jan 2013.
  77. Igor Masten & Massimiliano Marcellino & Anindya Banerjeey, 2009. "Forecasting with Factor-augmented Error Correction Models," RSCAS Working Papers 2009/32, European University Institute.
  78. Ginters Buss, 2012. "Forecasting and Signal Extraction with Regularised Multivariate Direct Filter Approach," Working Papers 2012/06, Latvijas Banka.
  79. repec:ipg:wpaper:2014-414 is not listed on IDEAS
  80. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  81. Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andre Lucas, 2011. "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," Tinbergen Institute Discussion Papers 11-042/2/DSF16, Tinbergen Institute.
  82. Kapetanios, George & Marcellino, Massimiliano, 2006. "A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions," CEPR Discussion Papers 5620, C.E.P.R. Discussion Papers.
  83. Mestekemper, Thomas & Kauermann, Göran & Smith, Michael S., 2013. "A comparison of periodic autoregressive and dynamic factor models in intraday energy demand forecasting," International Journal of Forecasting, Elsevier, vol. 29(1), pages 1-12.
  84. M. Pilar Muñoz & Cristina Corchero & F.-Javier Heredia, 2013. "Improving Electricity Market Price Forecasting with Factor Models for the Optimal Generation Bid," International Statistical Review, International Statistical Institute, vol. 81(2), pages 289-306, 08.
  85. Branimir Jovanovic & Magdalena Petrovska, 2010. "Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting," Working Papers 2010-02, National Bank of the Republic of Macedonia, revised Aug 2010.
  86. Bork, Lasse, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," Finance Research Group Working Papers F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  87. F. Della Marra, 2017. "A forecasting performance comparison of dynamic factor models based on static and dynamic methods," Economics Department Working Papers 2017-ME01, Department of Economics, Parma University (Italy).
  88. Ard den Reijer, 2007. "Identifying Regional and Sectoral Dynamics of the Dutch Staffing Labour Cycle," DNB Working Papers 153, Netherlands Central Bank, Research Department.
  89. Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions," Working Papers 2015-03, Universitat de Barcelona, UB Riskcenter.
  90. Kapetanios, George & Marcellino, Massimiliano & Papailias, Fotis, 2016. "Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 369-382.
  91. Andrea Carriero & Massimiliano Marcellino, 2007. "A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK," Working Papers 590, Queen Mary University of London, School of Economics and Finance.
  92. Alvarez, Rocio & Camacho, Maximo & Perez-Quiros, Gabriel, 2016. "Aggregate versus disaggregate information in dynamic factor models," International Journal of Forecasting, Elsevier, vol. 32(3), pages 680-694.
  93. Bovi, M., 2005. "Economic Clubs and European Commitment. Evidence from the International Business Cycles," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(2), pages 101-122.
  94. Aslanidis, Nektarios & Cipollini, Andrea, 2010. "Leading indicator properties of US high-yield credit spreads," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 145-156, March.
  95. Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España;Working Papers Homepage.
  96. Mario Forni & Alessandro Giovannelli & Marco Lippi & Stefano Soccorsi, 2016. "Dynamic Factor model with infinite dimensional factor space: forecasting," Center for Economic Research (RECent) 120, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  97. Antonello D'Agostino & Kieran McQuinn & Derry O’Brien, 2012. "Nowcasting Irish GDP," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2012(2), pages 21-31.
  98. Maximo Camacho & Matias Pacce, 2016. "Forecasting travelers in Spain with Google queries," Working Papers 16/21, BBVA Bank, Economic Research Department.
  99. Zura Kakushadze & Willie Yu, 2016. "Multifactor Risk Models and Heterotic CAPM," Papers 1602.04902, arXiv.org, revised Mar 2016.
  100. Emmanuela Bernardini & Gianluca Cubadda, 2013. "Macroeconomic forecasting and structural analysis through regularized reduced-rank regression," CEIS Research Paper 289, Tor Vergata University, CEIS, revised 03 Oct 2013.
  101. Giannone, Domenico & Reichlin, Lucrezia & Small, David H., 2006. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Working Paper Series 0633, European Central Bank.
  102. Eliana González, "undated". "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia 643, Banco de la Republica de Colombia.
  103. Matteo Luciani, 2012. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers ECARES ECARES 2012-035, ULB -- Universite Libre de Bruxelles.
  104. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," MPRA Paper 39452, University Library of Munich, Germany.
  105. Claudia Foroni & Massimiliano Marcellino, 2013. "A survey of econometric methods for mixed-frequency data," Working Paper 2013/06, Norges Bank.
  106. Chua, Chew Lian & Tsiaplias, Sarantis, 2011. "Predicting economic contractions and expansions with the aid of professional forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 438-451.
  107. Song Song & Wolfgang K. Härdle & Ya'acov Ritov, 2010. "High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model," SFB 649 Discussion Papers SFB649DP2010-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  108. repec:gnv:wpaper:unige:76321 is not listed on IDEAS
  109. Ergemen, Yunus Emre & Haldrup, Niels & Rodríguez-Caballero, Carlos Vladimir, 2016. "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," Energy Economics, Elsevier, vol. 60(C), pages 79-96.
  110. Katerina Arnostova & David Havrlant & Lubos Ruzicka & Peter Toth, 2010. "Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators," Working Papers 2010/12, Czech National Bank, Research Department.
  111. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2008. "A Monthly Indicator of the Euro Area GDP," Economics Working Papers ECO2008/32, European University Institute.
  112. Boonman, Tjeerd M. & Jacobs, Jan P.A.M. & Kuper, Gerard H., 2012. "The Global Financial Crisis and currency crises in Latin America," Research Report 12005-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  113. Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014. "Combined Density Nowcasting in an uncertain economic environment," Working Paper 2014/17, Norges Bank.
  114. William A. Barnett & Biyan Tang, 2016. "Chinese Divisia Monetary Index and GDP Nowcasting," Open Economies Review, Springer, vol. 27(5), pages 825-849, November.
  115. Mario Forni & Luca Gambetti, 2008. "The dynamic e ects of monetary policy: A structural factor model approach," Center for Economic Research (RECent) 026, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  116. Gianluca Cubadda & Barbara Guardabascio, 2010. "A Medium-N Approach to Macroeconomic Forecasting," CEIS Research Paper 176, Tor Vergata University, CEIS, revised 09 Dec 2010.
  117. Dreger, Christian & Schumacher, Christian, 2002. "Estimating large-scale factor models for economic activity in Germany : do they outperform simpler models?," HWWA Discussion Papers 199, Hamburg Institute of International Economics (HWWA).
  118. Alhassan Abdullah Mohammed, 2011. "A Coincident Indicator of the Gulf Cooperation Council Business Cycle," Review of Middle East Economics and Finance, De Gruyter, vol. 6(3), pages 1-23, February.
  119. Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz, 2004. "Are european business cycles close enough to be just one?," Working Papers 0408, Banco de España;Working Papers Homepage.
  120. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Using Large Data Sets to Forecast Housing Prices: A Case Study of Twenty US States," Working Papers 200912, University of Pretoria, Department of Economics.
  121. Pierre Guerin & Danilo Leiva-Leon & Massimiliano Marcellino, 2016. "Markov-Switching Three-Pass Regression Filter," Working Papers 591, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  122. Christian Gayer & Julien Genet, 2006. "Using factor models to construct composite indicators from BCS data - a comparison with European Commission confidence indicators," European Economy - Economic Papers 2008 - 2015 240, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  123. Dante Amengual & Luca Repetto, 2014. "Testing a Large Number of Hypotheses in Approximate Factor Models," Working Papers wp2014_1410, CEMFI.
  124. Cristadoro, Riccardo & Venditti, Fabrizio & Saporito, Giuseppe, 2008. "Forecasting inflation and tracking monetary policy in the euro area: does national information help?," Working Paper Series 0900, European Central Bank.
  125. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," EIEF Working Papers Series 1106, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2011.
  126. Inoue, Atsushi & Kilian, Lutz, 2005. "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers 5304, C.E.P.R. Discussion Papers.
  127. Fady Barsoum & Sandra Stankiewicz, 2013. "Forecasting GDP Growth Using Mixed-Frequency Models With Switching Regimes," Working Paper Series of the Department of Economics, University of Konstanz 2013-10, Department of Economics, University of Konstanz.
  128. Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011. "Dynamic factor value-at-risk for large, heteroskedastic portfolios," Finance and Economics Discussion Series 2011-19, Board of Governors of the Federal Reserve System (U.S.).
  129. Knut Are Aastveit & Tørres G. Trovik, 2008. "Nowcasting Norwegian GDP: The role of asset prices in a small open economy," Working Paper 2007/09, Norges Bank.
  130. Christian Gillitzer & Jonathan Kearns & Anthony Richards, 2005. "The Australian Business Cycle: A Coincident Indicator Approach," RBA Annual Conference Volume, in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia.
  131. William T. Gavin & Kevin L. Kliesen, 2008. "Forecasting inflation and output: comparing data-rich models with simple rules," Review, Federal Reserve Bank of St. Louis, issue May, pages 175-192.
  132. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638440, HAL.
  133. He, Qing & Leung, Pak-Ho & Chong, Terence Tai-Leung, 2013. "Factor-augmented VAR analysis of the monetary policy in China," China Economic Review, Elsevier, vol. 25(C), pages 88-104.
  134. Marco Del Negro & Christopher Otrok, 2008. "Dynamic factor models with time-varying parameters: measuring changes in international business cycles," Staff Reports 326, Federal Reserve Bank of New York.
  135. Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working Papers 201101, University of Pretoria, Department of Economics.
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