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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. Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2007. "Opening the black box: structural factor models with large cross-sections," Working Paper Series 0712, European Central Bank.
  2. Rangan Gupta & Alan Kabundi & Stephen M. Miller, 2010. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers 1001, University of Nevada, Las Vegas , Department of Economics.
  3. 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, vol. 50(6), pages 1243-1255, September.
  4. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "A Dynamic Factor Analysis of Business Cycle on Firm-Level Data," LEM Papers Series 2006/27, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  5. Owyang, Michael T. & Rapach, David E. & Wall, Howard J., 2009. "States and the business cycle," Journal of Urban Economics, Elsevier, vol. 65(2), pages 181-194, March.
  6. 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.
  7. Corielli, Francesco & Marcellino, Massimiliano, 2002. "Factor Based Index Tracking," CEPR Discussion Papers 3265, C.E.P.R. Discussion Papers.
  8. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, 09.
  9. 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.
  10. 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).
  11. 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.
  12. Pesaran, M.H. & Tosetti, E., 2007. "Large Panels with Common Factors and Spatial Correlations," Cambridge Working Papers in Economics 0743, Faculty of Economics, University of Cambridge.
  13. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Working Papers ECARES ECARES 2015-34, ULB -- Universite Libre de Bruxelles.
  14. Matteo Luciani & Antoniomaria Conti & Matteo Barigozzi, 2013. "Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?," ULB Institutional Repository 2013/153330, ULB -- Universite Libre de Bruxelles.
  15. Breitung, Jörg & Eickmeier, Sandra, 2005. "Dynamic factor models," Discussion Paper Series 1: Economic Studies 2005,38, Deutsche Bundesbank, Research Centre.
  16. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2002. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," CEPR Discussion Papers 3432, C.E.P.R. Discussion Papers.
  17. Hyungsik Roger Moon & Martin Weidner, 2014. "Dynamic linear panel regression models with interactive fixed effects," CeMMAP working papers CWP47/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  18. George Kapetanios & M. Hashem Pesaran, 2005. "Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns," CESifo Working Paper Series 1416, CESifo Group Munich.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. Riccardo Cristadoro & Mario Forni & Lucrezia Reichlin & Giovanni Veronese, 2001. "A core inflation index for the euro area," Temi di discussione (Economic working papers) 435, Bank of Italy, Economic Research and International Relations Area.
  24. Enrique Sentana & Francisco Peñaranda, 2007. "Duality In Mean-Variance Frontiers With Conditioning Information," Working Papers wp2007_0715, CEMFI.
  25. 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).
  26. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction," LEM Papers Series 2006/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  27. Jennifer Castle & David Hendry, 2011. "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers 528, University of Oxford, Department of Economics.
  28. Pesaran, M.H. & Zaffaroni, P., 2008. "Optimal Asset Allocation with Factor Models for Large Portfolios," Cambridge Working Papers in Economics 0813, Faculty of Economics, University of Cambridge.
  29. Donald W.K. Andrews, 2003. "Cross-section Regression with Common Shocks," Cowles Foundation Discussion Papers 1428, Cowles Foundation for Research in Economics, Yale University.
  30. 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.
  31. Bai, Jushan & Liao, Yuan, 2012. "Efficient Estimation of Approximate Factor Models," MPRA Paper 41558, University Library of Munich, Germany.
  32. 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.
  33. 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.
  34. Luca Gambetti, 2010. "Fiscal Policy, Foresight and the Trade Balance in the U.S," Working Papers 505, Barcelona Graduate School of Economics.
  35. Enrique Sentana, 2008. "The Econometrics Of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
  36. J. B. Heaton & N. G. Polson & J. H. Witte, 2016. "Deep Portfolio Theory," Papers 1605.07230, arXiv.org.
  37. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES 2009_023, ULB -- Universite Libre de Bruxelles.
  38. Caicedo-Llano, Juliana & Dionysopoulos, Thomas, 2008. "Market integration: A risk-budgeting guide for pure alpha investors," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 313-327, October.
  39. Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2013. "Risks of large portfolios," MPRA Paper 44206, University Library of Munich, Germany.
  40. Fornaro, Paolo, 2016. "Predicting Finnish economic activity using firm-level data," International Journal of Forecasting, Elsevier, vol. 32(1), pages 10-19.
  41. 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.
  42. 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.
  43. Dalibor Stevanovic & Charles Olivier Mao Takongmo, 2014. "Selection of the number of factors in presence of structural instability: a Monte Carlo study," CIRANO Working Papers 2014s-44, CIRANO.
  44. Matteo Luciani, 2015. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 199-218, 03.
  45. Zura Kakushadze, 2015. "Heterotic Risk Models," Papers 1508.04883, arXiv.org, revised Jan 2016.
  46. Bai, Jushan, 2004. "Estimating cross-section common stochastic trends in nonstationary panel data," Journal of Econometrics, Elsevier, vol. 122(1), pages 137-183, September.
  47. Eickmeier, Sandra & Kühnlenz, Markus, 2013. "China's role in global inflation dynamics," Discussion Papers 07/2013, Deutsche Bundesbank, Research Centre.
  48. Groen, Jan J. J. & Kapetanios, George, 2008. "Revisiting useful approaches to data-rich macroeconomic forecasting," Staff Reports 327, Federal Reserve Bank of New York, revised 01 Oct 2015.
  49. Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2005. "International Stock Return Comovements," Working Papers 06-3, University of Pennsylvania, Wharton School, Weiss Center.
  50. 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.
  51. 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.
  52. 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.
  53. 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.
  54. 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".
  55. 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.
  56. Phelim P. Boyle & Chenghu Ma, 2013. "Mean-Preserving-Spread Risk Aversion and The CAPM," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  57. Eickmeier, Sandra & Hofmann, Boris, 2010. "Monetary policy, housing booms and financial (im)balances," Working Paper Series 1178, European Central Bank.
  58. Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008. "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers 403, University of Oxford, Department of Economics.
  59. 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.
  60. 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.
  61. 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.
  62. 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, vol. 4(2), pages 10, April.
  63. Matteo Barigozzi & Alessio Moneta, 2012. "Identifying the Independent Sources of Consumption Variation," LEM Papers Series 2012/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  64. Thierry Vessereau, 2000. "Factor Analysis and Independent Component Analysis in Presence of High Idiosyncratic Risks," CIRANO Working Papers 2000s-46, CIRANO.
  65. Rangan Gupta & Alain Kabundi, 2009. "A Large Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 137, Economic Research Southern Africa.
  66. Hallin, Marc & Lippi, Marco, 2013. "Factor models in high-dimensional time series—A time-domain approach," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2678-2695.
  67. 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.
  68. Turtle, H.J. & Wang, Kainan, 2016. "The benefits of improved covariance estimation," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 233-246.
  69. 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.
  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. 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.
  72. Nobi, Ashadun & Lee, Jae Woo, 2016. "State and group dynamics of world stock market by principal component analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 85-94.
  73. 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.
  74. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
  75. 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.
  76. 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.
  77. Andrew Clare & Richard Priestley, . "Risk factors in the Malaysian stock market," CERF Discussion Paper Series 97-03, Economics and Finance Section, School of Social Sciences, Brunel University.
  78. Marek Rusnak, 2013. "Nowcasting Czech GDP in Real Time," Working Papers 2013/06, Czech National Bank, Research Department.
  79. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2007. "A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering," CEPR Discussion Papers 6043, C.E.P.R. Discussion Papers.
  80. 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, vol. 7(4), pages 312-334.
  81. Necati Tekatli, 2007. "Generalized Factor Models: A Bayesian Approach," Working Papers 334, Barcelona Graduate School of Economics.
  82. Croux, Christophe & Renault, Eric & Werker, Bas, 2004. "Dynamic factor models," Journal of Econometrics, Elsevier, vol. 119(2), pages 223-230, April.
  83. 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.
  84. 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.
  85. repec:hal:journl:peer-00768190 is not listed on IDEAS
  86. Francisco Peñaranda & Enrique Sentana, 2008. "Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach," Economics Working Papers 1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
  87. 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.
  88. 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.
  89. Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, . "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series 11-41, Swiss Finance Institute.
  90. Barhoumi, K. & Darné, O. & Ferrara, L., 2013. "Dynamic Factor Models: A review of the Literature ," Working papers 430, Banque de France.
  91. Breitung, Jörg & Eickmeier, Sandra, 2011. "Testing for structural breaks in dynamic factor models," Journal of Econometrics, Elsevier, vol. 163(1), pages 71-84, July.
  92. Huang, Roger D. & Jo, Hoje, 1995. "Data frequency and the number of factors in stock returns," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 987-1003, September.
  93. Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2014. "Understanding global liquidity," European Economic Review, Elsevier, vol. 68(C), pages 1-18.
  94. Peter Kugler & Beatrice Weder, 2004. "International Portfolio Holdings and Swiss Franc Asset Returns," Working papers 2004/08, Faculty of Business and Economics - University of Basel.
  95. Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.
  96. Garcia, R. & Renault, E., 2000. "Letent Variable Models for Stochastic Discount Factors," Cahiers de recherche 2000-01, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  97. Forni, Mario & Gambetti, Luca, 2010. "Fiscal Foresight and the Effects of Goverment Spending," CEPR Discussion Papers 7840, C.E.P.R. Discussion Papers.
  98. 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.
  99. 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.
  100. Zura Kakushadze & Willie Yu, 2016. "Statistical Risk Models," Papers 1602.08070, arXiv.org, revised Jul 2016.
  101. Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric Model Averaging of Ultra-High Dimensional Time Series," Discussion Papers 15/18, Department of Economics, University of York.
  102. Lawrence A. Leger & Vitor Leone, 2007. "Changes in the risk structure of stock returns. Consumer Confidence and the Dotcom Bubble," Discussion Paper Series 2007_15, Department of Economics, Loughborough University, revised Jun 2007.
  103. 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.
  104. 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.
  105. Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2005. "Yet another look at mutual fund tournaments," Other publications TiSEM 18f339f2-5cf9-4e35-9440-9, Tilburg University, School of Economics and Management.
  106. Lucrezia Reichlin, 2003. "Factor models in large cross sections of time series," ULB Institutional Repository 2013/10179, ULB -- Universite Libre de Bruxelles.
  107. 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).
  108. Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Working Papers ECARES 2008_012, ULB -- Universite Libre de Bruxelles.
  109. 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.
  110. 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.
  111. 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, vol. 20(3), pages 210-231, September.
  112. 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.
  113. 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.
  114. Sentana, E., 2000. "Factor Representing Portfolios in Large Asset Markets," Papers 0001, Centro de Estudios Monetarios Y Financieros-.
  115. Attiya Y. Javed, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE-Working Papers 2000:179, Pakistan Institute of Development Economics.
  116. 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.
  117. D'Agostino, Antonello & Giannone, Domenico, 2007. "Comparing Alternative Predictors Based on Large-Panel Factor Models," CEPR Discussion Papers 6564, C.E.P.R. Discussion Papers.
  118. Jon Wongswan, 2003. "Contagion: an empirical test," International Finance Discussion Papers 775, Board of Governors of the Federal Reserve System (U.S.).
  119. 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.
  120. Haruo Iwakura & Ryo Okui, 2014. "Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models," KIER Working Papers 887, Kyoto University, Institute of Economic Research.
  121. Angelini, Elena & Henry, Jerome & Marcellino, Massimiliano, 2006. "Interpolation and backdating with a large information set," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2693-2724, December.
  122. 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.
  123. Khan, M. Ali, 2000. "Globalization Of Financial Markets And Islamic Financial Institutions," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 8, pages 20-66.
  124. Alain Kabundi & Francisco Nadal De Simone, 2011. "France in the global economy: a structural approximate dynamic factor model analysis," Empirical Economics, Springer, vol. 41(2), pages 311-342, October.
  125. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
  126. Viktor Todorov & Tim Bollerslev, 2007. "Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks," CREATES Research Papers 2007-15, Department of Economics and Business Economics, Aarhus University.
  127. Werner, Jan, 1997. "Diversification and Equilibrium in Securities Markets," Journal of Economic Theory, Elsevier, vol. 75(1), pages 89-103, July.
  128. Zura Kakushadze & Willie Yu, 2016. "Multifactor Risk Models and Heterotic CAPM," Papers 1602.04902, arXiv.org, revised Mar 2016.
  129. 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.
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  132. Til Schuermann & Kevin J. Stiroh, 2006. "Visible and hidden risk factors for banks," Staff Reports 252, Federal Reserve Bank of New York.
  133. Guillaume Coqueret, 2015. "Diversified minimum-variance portfolios," Annals of Finance, Springer, vol. 11(2), pages 221-241, May.
  134. 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.
  135. Yuki Ikeda & Tatsuya Kubokawa, 2015. "Linear Shrinkage Estimation of Large Covariance Matrices with Use of Factor Models," CIRJE F-Series CIRJE-F-958, CIRJE, Faculty of Economics, University of Tokyo.
  136. Muñoz-Bouzo, María José & Balbás, Alejandro, 1996. "Measuring the degree of fulfillment of the law of one price. Applications to financial markets integration," UC3M Working papers. Economics 7213, Universidad Carlos III de Madrid. Departamento de Economía.
  137. 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.
  138. 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.
  139. George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," Working Papers 569, Queen Mary University of London, School of Economics and Finance.
  140. Bank for International Settlements, 2008. "Measuring economic integration: the case of Asian economies," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 136-158 Bank for International Settlements.
  141. Khan, M. Ali & Sun, Yeneng, 2001. "Asymptotic Arbitrage and the APT with or without Measure-Theoretic Structures," Journal of Economic Theory, Elsevier, vol. 101(1), pages 222-251, November.
  142. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series," LEM Papers Series 2006/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  143. Jean Boivin & Serena Ng, 2003. "Are More Data Always Better for Factor Analysis?," NBER Working Papers 9829, National Bureau of Economic Research, Inc.
  144. Chris Heaton & Victor Solo, 2000. "Dynamic Factor Analysis with ARMA Factors," Econometric Society World Congress 2000 Contributed Papers 0145, Econometric Society.
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