Chun, Sungju - In: Global business and finance review 26 (2021) 4, pp. 77-89
forecasting performance of the dynamic factor predictive regression model by comparing in-sample and out-of-sample predictability … with those of individual predictors. Findings: The article finds that the dynamic factor predictive regression exhibits … research. Originality/value: The article is the first attempt to apply the dynamic factor predictive regression model to a …