This paper looks at the patterns of causation between income, export, import, and investment growth for 25 developing countries. Our approach differs from previous efforts in a number of ways. First, we examine each country individually in order to allow for complete heterogeneity and properly...

In this paper, we propose and evaluate a shrinkage based methodology that is designed to improve the accuracy of forecasts of daily integrated volatility. Our approach is based on a two-step shrinkage procedure designed to extract latent common volatility factors from a large dimensional and...

A number of recent studies in the economics literature have focused on the usefulness of factor models in the context of prediction using "big data". We add to this literature by analyzing whether "big data" are useful for modelling low frequency macroeconomic variables such as unemployment,...