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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

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

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

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

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

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

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

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

Using principal component analysis to estimate a high dimensional factor model with high-frequency data

Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 2, pp. 384-399

Persistent link: https://www.econbiz.de/10011920525

In-sample inference and forecasting in misspecified factor models

Carrasco, Marine; Rossi, Barbara - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 313-338

Persistent link: https://www.econbiz.de/10011691438