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1
Chapter 8. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics
Stock, J.H.
;
Watson, M.W.
- In:
Handbook of macroeconomics : volume 2, v. 2A-2B SET
,
(pp. 415-525)
.
2016
This chapter provides an overview of and user's guide to dynamic factor models (DFMs), their
estimation
, and their uses …
application
to oil shocks how the same identification strategies can be applied to each type of model. …
Persistent link: https://www.econbiz.de/10014024278
Saved in:
2
Long memory factor model : on
estimation
of factor memories
Cheung, Ying Lun
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 756-769
Persistent link: https://www.econbiz.de/10013534489
Saved in:
3
Time varying three pass regression filter
Marcellino, Massimiliano
;
Dendramis, Yiannis
; …
-
2023
Persistent link: https://www.econbiz.de/10014383819
Saved in:
4
Dynamic factor models : does the specification matter?
Miranda, Karen
;
Poncela, Pilar
;
Ruiz, Esther
- In:
SERIEs : Journal of the Spanish Economic Association
13
(
2022
)
1
,
pp. 397-428
variables. This paper analyses the empirical consequences on factor
estimation
, in-sample predictions and out …
Persistent link: https://www.econbiz.de/10013326908
Saved in:
5
Portfolio risk management in a data-rich environment
Bouaddi, Mohammed
;
Taamouti, Abderrahim
- In:
Financial markets and portfolio management
26
(
2012
)
4
,
pp. 469-494
Persistent link: https://www.econbiz.de/10009667499
Saved in:
6
Portfolio selection in a data-rich environment
Bouaddi, Mohammed
;
Taamouti, Abderrahim
- In:
Journal of economic dynamics & control
37
(
2013
)
12
,
pp. 2943-2962
Persistent link: https://www.econbiz.de/10010348093
Saved in:
7
Forecasting macroeconomic variables using collapsed dynamic factor analysis
Bräuning, Falk
;
Koopman, Siem Jan
- In:
International journal of forecasting
30
(
2014
)
3
,
pp. 572-584
Persistent link: https://www.econbiz.de/10010513606
Saved in:
8
Stock return predictability and market integration : the role of global and local information
McMillan, David G.
- In:
Cogent economics & finance
4
(
2016
)
1
,
pp. 1-18
This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following...
Persistent link: https://www.econbiz.de/10011487829
Saved in:
9
Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
Argyropoulos, Efthymios
;
Tzavalis, Elias
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
1
,
pp. 49-70
Persistent link: https://www.econbiz.de/10011311197
Saved in:
10
Measuring financial market integration over the long run : is there a u-shape?
Volosovych, Vadym
-
2011
Using long time series for sovereign bond markets of fifteen industrialized economies from 1875 to 2009, I find that financial market integration by the end of the 20th century was higher than in earlier periods and exhibited a J-shaped trend with a trough in the 1920s. The main reason for the...
Persistent link: https://www.econbiz.de/10011382994
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