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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. …
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variables. This paper analyses the empirical consequences on factor estimation, in-sample predictions and out …
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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...
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