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Testing for factor loading structural change under common breaks
Yamamoto, Yohei; Tanaka, Shinya - In: Journal of econometrics 189 (2015) 1, pp. 187-206
Persistent link: https://www.econbiz.de/10011502515
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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
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The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation
Argyropoulos, Efthymios; Tzavalis, Elias - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 785-796
Persistent link: https://www.econbiz.de/10012655704
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Large dimensional latent factor modeling with missing observations and applications to causal inference
Xiong, Ruoxuan; Pelger, Markus - In: Journal of econometrics 233 (2023) 1, pp. 271-301
Persistent link: https://www.econbiz.de/10014341054
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State-varying factor models of large dimensions
Pelger, Markus; Xiong, Ruoxuan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1315-1333
Persistent link: https://www.econbiz.de/10013539523
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Interpretable sparse proximate factors for large dimensions
Pelger, Markus; Xiong, Ruoxuan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1642-1664
Persistent link: https://www.econbiz.de/10013540407