Similar Search Results - EconBiz

Determining the number of primitive shocks in factor models

Bai, Jushan; Ng, Serena - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 1, pp. 52-60

Persistent link: https://www.econbiz.de/10003410155

The empirical risk-return relations : a factor analysis approach

Ludvigson, Sydney C.; Ng, Serena - In: Journal of financial economics 83 (2007) 1, pp. 171-222

Persistent link: https://www.econbiz.de/10003410385

Macro factors in bond risk premia

Ludvigson, Sydney C.; Ng, Serena - 2005

Persistent link: https://www.econbiz.de/10003181859

Dynamic hierarchical factor models

Mönch, Emanuel; Ng, Serena; Potter, Simon M. - 2009

This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework...

Persistent link: https://www.econbiz.de/10003948200

Detecting information pooling : evidence from earnings forecasts after brokerage mergers

Ng, Serena (contributor); Shum, Matthew (contributor) - In: The B.E. journal of economic analysis & policy 7 (2007) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10003742002

Uncertainty and business cycles : exogenous impulse or endogenous response?

Ludvigson, Sydney C.; Ma, Sai; Ng, Serena - 2015

Persistent link: https://www.econbiz.de/10011429359

Variable selection in predictive regressions

Ng, Serena - 2013

Persistent link: https://www.econbiz.de/10011507028

FRED-MD : a monthly database for macroeconomic research

McCracken, Michael W.; Ng, Serena - 2015

Persistent link: https://www.econbiz.de/10011297664

Minimum distance estimation of possibly noninvertible moving average models

Gospodinov, Nikolaj; Ng, Serena - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 403-417

Persistent link: https://www.econbiz.de/10011390402

R&D, innovation and knowledge spillovers : a reapraisal of Botazzi and Peri (2007) in the presence of cross-sectional dependence

Bottasso, Anna; Castagnetti, Carolina; Conti, Maurizio - In: Journal of applied econometrics 30 (2015) 2, pp. 350-352

Persistent link: https://www.econbiz.de/10011332977

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