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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. Fernald, John G. & Spiegel, Mark M. & Swanson, Eric T., 2014. "Monetary policy effectiveness in China: evidence from a FAVAR model," Working Paper Series 2014-7, Federal Reserve Bank of San Francisco.
  2. Passemier, Damien & Yao, Jianfeng, 2014. "Estimation of the number of spikes, possibly equal, in the high-dimensional case," Journal of Multivariate Analysis, Elsevier, vol. 127(C), pages 173-183.
  3. Paul Viefers & Ferdinand Fichtner & Simon Junker & Maximilian Podstawski, 2014. "Filtering German Economic Conditions from a Large Dataset: The New DIW Economic Barometer," Discussion Papers of DIW Berlin 1414, DIW Berlin, German Institute for Economic Research.
  4. Forni, Mario & Gambetti, Luca, 2010. "Fiscal Foresight and the Effects of Goverment Spending," CEPR Discussion Papers 7840, C.E.P.R. Discussion Papers.
  5. Catherine Doz & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print hal-00844811, HAL.
  6. 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.
  7. Zura Kakushadze & Willie Yu, 2016. "Statistical Risk Models," Papers 1602.08070, arXiv.org, revised Jan 2017.
  8. Bruce N. Lehmann & David M. Modest, 2005. "Diversification and the Optimal Construction of Basis Portfolios," Management Science, INFORMS, vol. 51(4), pages 581-598, April.
  9. Ruey Yau, 2004. "Macroeconomic Forecasting with Independent Component Analysis," Econometric Society 2004 Far Eastern Meetings 741, Econometric Society.
  10. Tsionas, Mike G., 2016. "Parameters measuring bank risk and their estimation," European Journal of Operational Research, Elsevier, vol. 250(1), pages 291-304.
  11. John Geweke & Guofu Zhou, 1996. "Measuring the Pricing Error of the Arbitrage Pricing Theory," CEMA Working Papers 276, China Economics and Management Academy, Central University of Finance and Economics.
  12. Donald W. K. Andrews, 2005. "Cross-Section Regression with Common Shocks," Econometrica, Econometric Society, vol. 73(5), pages 1551-1585, 09.
  13. 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.
  14. Francisco Penaranda, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
  15. Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2009. "Opening The Black Box: Structural Factor Models With Large Cross Sections," Econometric Theory, Cambridge University Press, vol. 25(05), pages 1319-1347, October.
  16. repec:hal:journl:peer-00768190 is not listed on IDEAS
  17. Jean Boivin & Serena Ng, 2003. "Are More Data Always Better for Factor Analysis?," NBER Working Papers 9829, National Bureau of Economic Research, Inc.
  18. Arias, Maria A. & Gascon, Charles S. & Rapach, David E., 2016. "Metro business cycles," Journal of Urban Economics, Elsevier, vol. 94(C), pages 90-108.
  19. Goyal, Amit & Pérignon, Christophe & Villa, Christophe, 2008. "How common are common return factors across the NYSE and Nasdaq?," Journal of Financial Economics, Elsevier, vol. 90(3), pages 252-271, December.
  20. Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2014. "Dynamic factor models: A review of the literature," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(2), pages 73-107.
  21. 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).
  22. D’Agostino, Antonello & Giannone, Domenico, 2006. "Comparing alternative predictors based on large-panel factor models," Working Paper Series 0680, European Central Bank.
  23. Calista Cheung & Frédérick Demers, 2007. "Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation," Staff Working Papers 07-8, Bank of Canada.
  24. 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.
  25. Forni, Mario & Gambetti, Luca, 2008. "The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach," CEPR Discussion Papers 7098, C.E.P.R. Discussion Papers.
  26. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2005. "International Stock Return Comovements," NBER Working Papers 11906, National Bureau of Economic Research, Inc.
  27. Bai, Jushan & Wang, Peng, 2014. "Identification theory for high dimensional static and dynamic factor models," Journal of Econometrics, Elsevier, vol. 178(2), pages 794-804.
  28. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
  29. Tzang, Shyh-Weir & Wang, Chou-Wen & Yu, Min-Teh, 2016. "Systematic risk and volatility skew," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 72-87.
  30. Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Economics Working Papers ECO2008/22, European University Institute.
  31. 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 2010-520, Australian National University, College of Business and Economics, School of Economics.
  32. Travaglini, Guido, 2011. "Principal Components and Factor Analysis. A Comparative Study," MPRA Paper 35486, University Library of Munich, Germany.
  33. Samuel Hanson & M. Hashem Pesaran & Til Schuermann, 2005. "Firm Heterogeneity and Credit Risk Diversification," CESifo Working Paper Series 1531, CESifo Group Munich.
  34. 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.
  35. Germán López Espinosa, 2015. "Forecast Accuracy of Small and Large Scale Dynamic Factor Models in Developing Economies," Working Papers. Serie AD 2015-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  36. Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic factor models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 27-42, March.
  37. Leger, Lawrence & Leone, Vitor, 2008. "Changes in the risk structure of stock returns: Consumer Confidence and the dotcom bubble," Review of Financial Economics, Elsevier, vol. 17(3), pages 228-244, August.
  38. Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," UFAE and IAE Working Papers 850.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  39. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," Working Papers 1525, Banco de España;Working Papers Homepage.
  40. 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).
  41. Mao Takongmo, Charles Olivier & Stevanovic, Dalibor, 2015. "Selection Of The Number Of Factors In Presence Of Structural Instability: A Monte Carlo Study," L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 177-233, Mars-Juin.
  42. Ahn, Seung C. & Perez, M. Fabricio, 2010. "GMM estimation of the number of latent factors: With application to international stock markets," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 783-802, September.
  43. 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, vol. 17(6), pages 949-965, December.
  44. Bai, Jushan, 2004. "Estimating cross-section common stochastic trends in nonstationary panel data," Journal of Econometrics, Elsevier, vol. 122(1), pages 137-183, September.
  45. Marie-Hélène Broihanne & Maxime Merli & Patrick Roger, 2016. "Diversification, gambling and market forces," Review of Quantitative Finance and Accounting, Springer, vol. 47(1), pages 129-157, July.
  46. 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.
  47. Bai, Jushan & Liao, Yuan, 2012. "Efficient Estimation of Approximate Factor Models," MPRA Paper 41558, University Library of Munich, Germany.
  48. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, Department of Economics and Business Economics, Aarhus University.
  49. Almeida, Caio & Garcia, René, 2012. "Assessing misspecified asset pricing models with empirical likelihood estimators," Journal of Econometrics, Elsevier, vol. 170(2), pages 519-537.
  50. Angelini, Elena & Henry, Jérôme & Marcellino, Massimiliano, 2004. "Interpolation and Backdating with A Large Information Set," CEPR Discussion Papers 4533, C.E.P.R. Discussion Papers.
  51. 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.
  52. Christiane Baumeister & Philip Liu & Haroon Mumtaz, 2012. "Changes in the Effects of Monetary Policy on Disaggregate Price Dynamics," Staff Working Papers 12-13, Bank of Canada.
  53. Muñoz-Bouzo, María José & Balbás, Alejandro, 1997. "Stochastic measures of financial markets efficiency and integration," DEE - Working Papers. Business Economics. WB 7018, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  54. Antonio Diez de los Rios, 2007. "Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets," Staff Working Papers 07-29, Bank of Canada.
  55. 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.
  56. De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?," Discussion Paper Series 1: Economic Studies 2006,32, Deutsche Bundesbank, Research Centre.
  57. Buch, Claudia M. & Eickmeier, Sandra & Prieto, Esteban, 2014. "In search for yield? Survey-based evidence on bank risk taking," Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 12-30.
  58. Francisco Peñaranda, 2009. "Understanding portfolio efficiency with conditioning information," LSE Research Online Documents on Economics 24415, London School of Economics and Political Science, LSE Library.
  59. MacKinlay, A. Craig, 1995. "Multifactor models do not explain deviations from the CAPM," Journal of Financial Economics, Elsevier, vol. 38(1), pages 3-28, May.
  60. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  61. Jianqing Fan & Yuan Liao & Martina Mincheva, 2013. "Large covariance estimation by thresholding principal orthogonal complements," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, 09.
  62. Turtle, H.J. & Wang, Kainan, 2016. "The benefits of improved covariance estimation," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 233-246.
  63. Gupta, Rangan & Kabundi, Alain, 2011. "A large factor model for forecasting macroeconomic variables in South Africa," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1076-1088, October.
  64. 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.
  65. Knut Aastveit & Tørres Trovik, 2012. "Nowcasting norwegian GDP: the role of asset prices in a small open economy," Empirical Economics, Springer, vol. 42(1), pages 95-119, February.
  66. Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, vol. 87(1), pages 45-72, January.
  67. Charlotte Christiansen & Jonas Nygaard Eriksen & Stig V. Møller, 2013. "Forecasting US Recessions: The Role of Sentiments," CREATES Research Papers 2013-14, Department of Economics and Business Economics, Aarhus University.
  68. 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.
  69. Gonçalves, Sílvia & Perron, Benoit, 2014. "Bootstrapping factor-augmented regression models," Journal of Econometrics, Elsevier, vol. 182(1), pages 156-173.
  70. Zhang, Chu, 2009. "On the explanatory power of firm-specific variables in cross-sections of expected returns," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 306-317, March.
  71. Nawalkha, Sanjay K., 1997. "A multibeta representation theorem for linear asset pricing theories," Journal of Financial Economics, Elsevier, vol. 46(3), pages 357-381, December.
  72. Andrea Vedolin, 2012. "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics 43091, London School of Economics and Political Science, LSE Library.
  73. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2014. "Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections," DEOS Working Papers 1410, Athens University of Economics and Business.
  74. 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.
  75. Jon Wongswan, 2003. "Contagion: an empirical test," International Finance Discussion Papers 775, Board of Governors of the Federal Reserve System (U.S.).
  76. Jennifer Castle & David Hendry, 2011. "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers 528, University of Oxford, Department of Economics.
  77. 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), vol. 140(III), pages 301-325, September.
  78. Guillaume Coqueret, 2015. "Diversified minimum-variance portfolios," Annals of Finance, Springer, vol. 11(2), pages 221-241, May.
  79. Robert Engle & Neil Shephard & Kevin Shepphard, 2008. "Fitting vast dimensional time-varying covariance models," OFRC Working Papers Series 2008fe30, Oxford Financial Research Centre.
  80. David Havrlant & Peter Tóth & Julia Wörz, 2016. "On the optimal number of indicators – nowcasting GDP growth in CESEE," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 54–72-54–72.
  81. 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.
  82. 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.
    • In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Research Institute for Market Economy, Sogang University, revised Dec 2011.
  83. René Garcia & Éric Renault, 1999. "Latent Variable Models for Stochastic Discount Factors," CIRANO Working Papers 99s-47, CIRANO.
  84. Bai, Jushan & Liao, Yuan, 2016. "Efficient estimation of approximate factor models via penalized maximum likelihood," Journal of Econometrics, Elsevier, vol. 191(1), pages 1-18.
  85. Matteo Barigozzi & Antonio Conti & Matteo Luciani, 2012. "Do Euro area countries respond asymmetrically to the common monetary policy?," LSE Research Online Documents on Economics 43344, London School of Economics and Political Science, LSE Library.
  86. In Choi, 2007. "Efficient Estimation of Factor Models," Working Papers 0701, Research Institute for Market Economy, Sogang University, revised Dec 2010.
  87. Sentana, Enrique, 2004. "Factor representing portfolios in large asset markets," Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April.
  88. Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 383, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  89. 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 200927, University of Pretoria, Department of Economics.
  90. Michael Rothschild, 1985. "Asset Pricing Theories," NBER Technical Working Papers 0044, National Bureau of Economic Research, Inc.
  91. Smeekes, Stephan & Wijler, Etiënne, 2016. "Macroeconomic Forecasting Using Penalized Regression Methods," Research Memorandum 039, Maastricht University, Graduate School of Business and Economics (GSBE).
  92. 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).
  93. 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 w200809, Banco de Portugal, Economics and Research Department.
  94. Andrew W. Lo & Jiang W. Wang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," NBER Working Papers 7625, National Bureau of Economic Research, Inc.
  95. 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.
  96. Necati Tekatli, 2007. "Generalized Factor Models: A Bayesian Approach," UFAE and IAE Working Papers 730.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  97. Borus Jungbacker & Siem Jan Koopman, 2015. "Likelihood‐based dynamic factor analysis for measurement and forecasting," Econometrics Journal, Royal Economic Society, vol. 18(2), pages 1-21, 06.
  98. Lo, Andrew W. & Mackinlay, A. Craig, 1997. "Maximizing Predictability In The Stock And Bond Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 1(01), pages 102-134, January.
  99. Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2014. "Understanding global liquidity," European Economic Review, Elsevier, vol. 68(C), pages 1-18.
  100. Peñaranda, Francisco & Sentana, Enrique, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach," CEPR Discussion Papers 4422, C.E.P.R. Discussion Papers.
  101. Ba Chu, 2012. "Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios," Annals of Finance, Springer, vol. 8(1), pages 97-122, February.
  102. 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.
  103. Ahn, Seung C. & Lee, Young H. & Schmidt, Peter, 2013. "Panel data models with multiple time-varying individual effects," Journal of Econometrics, Elsevier, vol. 174(1), pages 1-14.
  104. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2000. "Reference Cycles: The NBER Methodology Revisited," CEPR Discussion Papers 2400, C.E.P.R. Discussion Papers.
  105. Kelly, Bryan & Pruitt, Seth, 2015. "The three-pass regression filter: A new approach to forecasting using many predictors," Journal of Econometrics, Elsevier, vol. 186(2), pages 294-316.
  106. Pin-Huang Chou & Robert P. Parks, 1993. "A Further Re-Examination of the Contrarian Investment Strategy: Evidence from Multivariate Tests," Finance 9307001, EconWPA, revised 25 Jul 1993.
  107. Altissimo, Filippo & Mojon, Benoit & Zaffaroni, Paolo, 2009. "Can aggregation explain the persistence of inflation?," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 231-241, March.
  108. Matteo Barigozzi & Brownlees Christian & Gallo Giampiero & David Veredas, "undated". "Disentangling systematic and idiosyncratic risks for large panels of assets," ULB Institutional Repository 2013/136237, ULB -- Universite Libre de Bruxelles.
  109. Umberto Triacca & Fulvia Focker, 2014. "Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 235-254, October.
  110. Peter Karlsson, 2011. "The Incompleteness Problem of the APT Model," Computational Economics, Springer;Society for Computational Economics, vol. 38(2), pages 129-151, August.
  111. Tomohiro Ando & Jushan Bai, 2016. "Panel Data Models with Grouped Factor Structure Under Unknown Group Membership," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(1), pages 163-191, 01.
  112. George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," CESifo Working Paper Series 1788, CESifo Group Munich.
  113. Bai, Jushan & Ng, Serena, 2006. "Evaluating latent and observed factors in macroeconomics and finance," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 507-537.
  114. Rusnák, Marek, 2016. "Nowcasting Czech GDP in real time," Economic Modelling, Elsevier, vol. 54(C), pages 26-39.
  115. Kabundi, Alain & Nadal De Simone, Francisco, 2012. "Recent French relative export performance: Is there a competitiveness problem?," Economic Modelling, Elsevier, vol. 29(4), pages 1408-1435.
  116. Forni M. & Hallin M., 2003. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," Computing in Economics and Finance 2003 143, Society for Computational Economics.
  117. Eneas A. Caldiño, 1996. "On the mean-standard deviation frontier," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 11(2), pages 297-319.
  118. 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.
  119. 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).
  120. 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.
  121. 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.
  122. Zhou X. & Solberger M., 2013. "LM-type tests for idiosyncratic and common unit roots in the exact factor model with AR(1) dynamics," Research Memorandum 059, Maastricht University, Graduate School of Business and Economics (GSBE).
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  124. 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.
  125. 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 2011/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
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  128. Luca Gambetti, 2010. "Fiscal Policy, Foresight and the Trade Balance in the U.S," Working Papers 505, Barcelona Graduate School of Economics.
  129. Pesaran, M. Hashem & Tosetti, Elisa, 2011. "Large panels with common factors and spatial correlation," Journal of Econometrics, Elsevier, vol. 161(2), pages 182-202, April.
  130. 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.
  131. Bullock, David S, 1995. "Are Government Transfers Efficient? An Alternative Test of the Efficient Redistribution Hypothesis," Journal of Political Economy, University of Chicago Press, vol. 103(6), pages 1236-1274, December.
  132. Croux, Christophe & Renault, Eric & Werker, Bas, 2004. "Dynamic factor models," Journal of Econometrics, Elsevier, vol. 119(2), pages 223-230, April.
  133. Eickmeier, Sandra, 2009. "Analyse der Übertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR," Discussion Paper Series 1: Economic Studies 2009,35, Deutsche Bundesbank, Research Centre.
  134. 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.
  135. Barry Eichengreen & Ashoka Mody & Milan Nedeljkovic & Lucio Sarno, 2012. "How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads," Working papers 21, National Bank of Serbia.
  136. Metiu, Norbert, 2016. "How does the stock market respond to changes in bank lending standards?," Economics Letters, Elsevier, vol. 144(C), pages 92-97.
  137. Bai, Jushan & Li, Kunpeng, 2013. "Spatial panel data models with common shocks," MPRA Paper 52786, University Library of Munich, Germany, revised 09 Mar 2014.
  138. Michael T. Owyang & David E. Rapach & Howard J. Wall, 2008. "States and the business cycle," Working Papers 2007-050, Federal Reserve Bank of St. Louis.
  139. 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, vol. 52(1-2), pages 5-59.
  140. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2006. "The Asymptotics for Panel Models with Common Shocks," Center for Policy Research Working Papers 77, Center for Policy Research, Maxwell School, Syracuse University.
  141. 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, vol. 26(2), pages 284-304, March.
  142. Stefanescu, Razvan & Dumitriu, Ramona, 2016. "Particularitǎţi ale evoluţiei variabilelor financiare
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