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Expecting the unexpected : stressed scenarios for economic growth
González-Rivera, Gloria; Rodríguez-Caballero, Carlos … - In: Journal of applied econometrics 39 (2024) 5, pp. 926-942
Persistent link: https://www.econbiz.de/10015156792
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A dynamic multi-level factor model with long-range dependence
Ergemen, Yunus Emre; Rodríguez-Caballero, Carlos Vladimir - 2016
Persistent link: https://www.econbiz.de/10011524107
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Wavelet estimation for dynamic factor models with time-varying loadings
Cataño, Duván Humberto; Rodríguez-Caballero, Carlos … - 2019
Persistent link: https://www.econbiz.de/10012316927
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A multilevel factor approach for the analysis of CDS commonality and risk contribution
Rodríguez-Caballero, Carlos Vladimir; Caporin, Massimiliano - In: Journal of international financial markets, … 63 (2019), pp. 1-18
Persistent link: https://www.econbiz.de/10012263344
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Estimation of a dynamic multi-level factor model with possible long-range dependence
Ergemen, Yunus Emre; Rodríguez-Caballero, Carlos Vladimir - In: International journal of forecasting 39 (2023) 1, pp. 405-430
Persistent link: https://www.econbiz.de/10014462789
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The factor structure of exchange rates volatility : global and intermittent factors
Caporin, Massimiliano; Rodríguez-Caballero, Carlos Vladimir - In: Empirical economics : a quarterly journal of the … 67 (2024) 1, pp. 31-45
Persistent link: https://www.econbiz.de/10015048346