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

by Gary Chamberlain & Michael Rothschild

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  1. 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.
  2. 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.
  3. Mario Forni & Luca Gambetti, 2010. "Fiscal Foresight and the Effects of Government Spending," Working Papers 460, Barcelona Graduate School of Economics.
  4. Viktor Todorov & Tim Bollerslev, 2007. "Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks," CREATES Research Papers 2007-15, School of Economics and Management, University of Aarhus.
  5. 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.
  6. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2006. "A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data," Economics Working Papers (Ensaios Economicos da EPGE) 628, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  7. Travaglini, Guido, 2011. "Principal Components and Factor Analysis. A Comparative Study," MPRA Paper 35486, University Library of Munich, Germany.
  8. Francisco Nadal-De Simone & Alain N. Kabundi, 2007. "France in the Global Economy; A Structural Approximate Dynamic Factor Model Analysis," IMF Working Papers 07/129, International Monetary Fund.
  9. Jon Wongswan, 2003. "Contagion: an empirical test," International Finance Discussion Papers 775, Board of Governors of the Federal Reserve System (U.S.).
  10. Lucrezia Reichlin, 2003. "Factor models in large cross sections of time series," ULB Institutional Repository 2013/10179, ULB -- Universite Libre de Bruxelles.
  11. Neil Shephard & Gabriele Fiorentini Enrique Sentana, 2002. "Likelihood-based estimation of latent generalised ARCH structures," Economics Series Working Papers 2002-W19, University of Oxford, Department of Economics.
  12. Melino, Angelo, 1988. " The Term Structure of Interest Rates: Evidence and Theory," Journal of Economic Surveys, Wiley Blackwell, vol. 2(4), pages 335-66.
  13. Holly, Sean & Pesaran, M. Hashem & Yamagata, Takashi, 2010. "A spatio-temporal model of house prices in the USA," Journal of Econometrics, Elsevier, vol. 158(1), pages 160-173, September.
  14. Martijn Cremers & Jianping Mei, 2004. "Turning Over Turnover," Yale School of Management Working Papers ysm429, Yale School of Management, revised 01 May 2008.
  15. 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.
  16. repec:cep:stiecm:/2000/378 is not listed on IDEAS
  17. Boivin, Jean & Ng, Serena, 2006. "Are more data always better for factor analysis?," Journal of Econometrics, Elsevier, vol. 132(1), pages 169-194, May.
  18. Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," CEPR Discussion Papers 10461, C.E.P.R. Discussion Papers.
  19. Falk Brauning & Siem Jan Koopman, 2012. "Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis," Tinbergen Institute Discussion Papers 12-042/4, Tinbergen Institute.
  20. 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.
  21. Eickmeier, Sandra & Ng, Tim, 2011. "Forecasting national activity using lots of international predictors: An application to New Zealand," International Journal of Forecasting, Elsevier, vol. 27(2), pages 496-511.
  22. Antonio Díez de los Ríos, 2003. "Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets," Economic Working Papers at Centro de Estudios Andaluces E2003/51, Centro de Estudios Andaluces.
  23. Forni, Mario & Gambetti, Luca & Sala, Luca, 2011. "No News in Business Cycles," CEPR Discussion Papers 8274, C.E.P.R. Discussion Papers.
  24. Barry Eichengreen & Ashoka Mody & Milan Nedeljkovic & Lucio Sarno, 2009. "How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads," NBER Working Papers 14904, National Bureau of Economic Research, Inc.
  25. Donald W. K. Andrews, 2005. "Cross-Section Regression with Common Shocks," Econometrica, Econometric Society, vol. 73(5), pages 1551-1585, 09.
  26. Calista Cheung & Frédérick Demers, 2007. "Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation," Working Papers 07-8, Bank of Canada.
  27. Jianqing Fan & Yuan Liao & Xiaofeng Shi, 2013. "Risks of Large Portfolios," Papers 1302.0926, arXiv.org.
  28. 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.
  29. 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.
  30. 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.
  31. Cristadoro, Riccardo & Forni, Mario & Reichlin, Lucrezia & Veronese, Giovanni, 2001. "A Core Inflation Index for the Euro Area," CEPR Discussion Papers 3097, C.E.P.R. Discussion Papers.
  32. 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.
  33. 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.
  34. 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.
  35. Enrique Sentana & Francisco Peñaranda, 2007. "Duality In Mean-Variance Frontiers With Conditioning Information," Working Papers wp2007_0715, CEMFI.
  36. Chris Heaton & Victor Solo, 2000. "Dynamic Factor Analysis with ARMA Factors," Econometric Society World Congress 2000 Contributed Papers 0145, Econometric Society.
  37. 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.
  38. 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).
  39. Hansen, Lars Peter & Jagannathan, Ravi, 1997. " Assessing Specification Errors in Stochastic Discount Factor Models," Journal of Finance, American Finance Association, vol. 52(2), pages 557-90, June.
  40. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638009, HAL.
  41. G. Kapetanios & M. Hashem Pesaran & T. Yamagata, 2010. "Panels with nonstationary multifactor error structures," Post-Print peer-00768190, HAL.
  42. 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.
  43. Sentana, Enrique, 2004. "Factor representing portfolios in large asset markets," Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April.
  44. Xi Luo, 2011. "Recovering Model Structures from Large Low Rank and Sparse Covariance Matrix Estimation," Papers 1111.1133, arXiv.org, revised Mar 2013.
  45. A. El-Gamal, Mahmoud, 2001. "An Economic Explication of the Prohibition of Gharar in Classical Islamic Jurisprudence," Journal of Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 8, pages 29-58.
  46. Clare, Andrew D. & Priestley, Richard, 1998. "Risk factors in the Malaysian stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 103-114, May.
  47. Khan, M. Ali, 2000. "Globalization Of Financial Markets And Islamic Financial Institutions," Journal of Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 8, pages 20-66.
  48. 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.
  49. 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.
  50. 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.
  51. 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".
  52. Phelim P. Boyle & Chenghu Ma, 2013. "Mean-Preserving-Spread Risk Aversion and The CAPM," Papers 2013-10-14, Working Paper.
  53. Chen, Kim Heng & Jandhyala, Venkata K. & Fotopoulos, Stergios B., 2005. "Nonlinear Properties of Multifactor Financial Models," Review of Applied Economics, Review of Applied Economics, vol. 1(2).
  54. 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).
  55. 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".
  56. Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-, 1992. "Maximizing predictability in the stock and bond markets," Working papers 3450-92., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  57. 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.
  58. Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests In Return And Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers wp2004_0410, CEMFI.
  59. Ferson, Wayne E. & Harvey, Campbell R., 1994. "Sources of risk and expected returns in global equity markets," Journal of Banking & Finance, Elsevier, vol. 18(4), pages 775-803, September.
  60. 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.
  61. Catherine Doz & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print peer-00844811, HAL.
  62. John Galbraith & Victoria Zinde-Walsh, 2011. "Partially Dimension-Reduced Regressions with Potentially Infinite-Dimensional Processes," CIRANO Working Papers 2011s-57, CIRANO.
  63. 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.
  64. De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?," CEPR Discussion Papers 5829, C.E.P.R. Discussion Papers.
  65. Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Economics Working Papers ECO2008/22, European University Institute.
  66. 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".
  67. J. Piplack & M. Beine & B. Candelon, 2009. "Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach," Working Papers 09-10, Utrecht School of Economics.
  68. Choi, In, 2012. "Efficient Estimation Of Factor Models," Econometric Theory, Cambridge University Press, vol. 28(02), pages 274-308, April.
  69. Aastveit, Knut Are, 2014. "Oil price shocks in a data-rich environment," Energy Economics, Elsevier, vol. 45(C), pages 268-279.
  70. 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.
  71. Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  72. Hallin, Marc & Liska, Roman, 2011. "Dynamic factors in the presence of blocks," Journal of Econometrics, Elsevier, vol. 163(1), pages 29-41, July.
  73. 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.
  74. Breitung, Jörg & Eickmeier, Sandra, 2005. "Dynamic factor models," Discussion Paper Series 1: Economic Studies 2005,38, Deutsche Bundesbank, Research Centre.
  75. Sainan Jin & Liangjun Su & Yonghui Zhang, 2014. "Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models," Working Papers 09-2014, Singapore Management University, School of Economics.
  76. Corielli, Francesco & Marcellino, Massimiliano, 2006. "Factor based index tracking," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2215-2233, August.
  77. Breitung, Jörg & Eickmeier, Sandra, 2009. "Testing for structural breaks in dynamic factor models," Discussion Paper Series 1: Economic Studies 2009,05, Deutsche Bundesbank, Research Centre.
  78. 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.
  79. 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.
  80. 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.
  81. repec:dgr:rugsom:05f10 is not listed on IDEAS
  82. René Garcia & Éric Renault, 1999. "Latent Variable Models for Stochastic Discount Factors," CIRANO Working Papers 99s-47, CIRANO.
  83. 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.
  84. 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.
  85. 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.
  86. Pilar Poncela & Esther Ruiz, 2012. "More is not always better : back to the Kalman filter in dynamic factor models," Statistics and Econometrics Working Papers ws122317, Universidad Carlos III, Departamento de Estadística y Econometría.
  87. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, . "Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections," DEOS Working Papers 1331, Athens University of Economics and Business.
  88. 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.
  89. Jennifer Castle & David Hendry, 2011. "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers 528, University of Oxford, Department of Economics.
  90. 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.
  91. 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.
  92. Bai, Jushan & Ando, Tomohiro, 2013. "Panel data models with grouped factor structure under unknown group membership," MPRA Paper 52782, University Library of Munich, Germany.
  93. Natalia Bailey & Sean Holly & N. Hashem Pesaran, 2013. "A Two Stage Approach to Spatiotemporal Analysis with Strong and weak cross Sectional Dependence," Cambridge Working Papers in Economics 1362, Faculty of Economics, University of Cambridge.
  94. 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.
  95. Robert S. Pindyck & Julio J. Rotemberg, 1990. "Do Stock Prices Move Together Too Much?," NBER Working Papers 3324, National Bureau of Economic Research, Inc.
  96. 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.
  97. Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model fiscal," Working Papers 440, Barcelona Graduate School of Economics.
  98. Khan, A. & Sun, Y., 2000. "Asymptotic Arbitrage and the APT with or Without Measure-Theoretic Structures," Papiers d'Economie Mathématique et Applications 2000.81, Université Panthéon-Sorbonne (Paris 1).
  99. 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.
  100. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, School of Economics and Management, University of Aarhus.
  101. 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.
  102. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009. "International Stock Return Comovements," Journal of Finance, American Finance Association, vol. 64(6), pages 2591-2626, December.
  103. Oh, Dong Hwan & Patton, Andrew J., 2015. "Modelling Dependence in High Dimensions with Factor Copulas," Finance and Economics Discussion Series 2015-51, Board of Governors of the Federal Reserve System (U.S.).
  104. 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," Working Papers 536, Queen Mary University of London, School of Economics and Finance.
  105. 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.
  106. 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.
  107. Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2014. "Understanding global liquidity," European Economic Review, Elsevier, vol. 68(C), pages 1-18.
  108. Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2013. "Do euro area countries respond asymmetrically to the common monetary policy?," Temi di discussione (Economic working papers) 923, Bank of Italy, Economic Research and International Relations Area.
  109. Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2013. "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.
  110. 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).
  111. 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.
  112. Baumeister, Christiane & Liu, Philip & Mumtaz, Haroon, 2013. "Changes in the effects of monetary policy on disaggregate price dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 543-560.
  113. Yin Liao & Heather M. Anderson & Farshid Vahid, 2010. "Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps," Monash Econometrics and Business Statistics Working Papers 11/10, Monash University, Department of Econometrics and Business Statistics.
  114. Michael Rothschild, 1985. "Asset Pricing Theories," NBER Technical Working Papers 0044, National Bureau of Economic Research, Inc.
  115. 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.
  116. Jan J. J. Groen & George Kapetanios, 2008. "Revisiting useful approaches to data-rich macroeconomic forecasting," Staff Reports 327, Federal Reserve Bank of New York.
  117. Til Schuermann & Kevin J. Stiroh, 2006. "Visible and hidden risk factors for banks," Staff Reports 252, Federal Reserve Bank of New York.
  118. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
  119. 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.
  120. Bai, Jushan & Liao, Yuan, 2012. "Efficient Estimation of Approximate Factor Models," MPRA Paper 41558, University Library of Munich, Germany.
  121. 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.
  122. Lo, Andrew W & Wang, Jiang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 257-300.
  123. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
  124. Francisco Peñaranda, 2009. "Understanding portfolio efficiency with conditioning information," Economics Working Papers 1146, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2011.
  125. 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.
  126. 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.
  127. 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.
  128. 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.
  129. Onatski, Alexei, 2012. "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, vol. 168(2), pages 244-258.
  130. 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.
  131. Connor, Gregory & Korajczyk, Robert A. & Linton, Oliver, 2006. "The common and specific components of dynamic volatility," Journal of Econometrics, Elsevier, vol. 132(1), pages 231-255, May.
  132. Hyungsik Roger Moon & Martin Weidner, 2013. "Dynamic linear panel regression models with interactive fixed effects," CeMMAP working papers CWP63/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  133. 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.
  134. Samuel Hanson & M. Hashem Pesaran & Til Schuermann, 2005. "Firm Heterogeneity and Credit Risk Diversification," CESifo Working Paper Series 1531, CESifo Group Munich.
  135. Charlotte Christiansen & Jonas Nygaard Eriksen & Stig V. Møller, 2013. "Forecasting US Recessions: The Role of Sentiments," CREATES Research Papers 2013-14, School of Economics and Management, University of Aarhus.
  136. 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.
  137. Priestley, Richard, 1996. "The arbitrage pricing theory, macroeconomic and financial factors, and expectations generating processes," Journal of Banking & Finance, Elsevier, vol. 20(5), pages 869-890, June.
  138. 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).
  139. J. Ginger Meng & Gang Hu & Jushan Bai, 2011. "Olive: A Simple Method For Estimating Betas When Factors Are Measured With Error," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 34(1), pages 27-60, 03.
  140. Luca Gambetti, 2010. "Fiscal Policy, Foresight and the Trade Balance in the U.S," UFAE and IAE Working Papers 852.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  141. Bai, Jushan & Li, Kunpeng, 2012. "Maximum likelihood estimation and inference for approximate factor models of high dimension," MPRA Paper 42099, University Library of Munich, Germany, revised 19 Oct 2012.
  142. 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.
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