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Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model
Li, Mengheng; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 285-301
Persistent link: https://www.econbiz.de/10012804111
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Homogeneity and structure identification in semiparametric factor models
Guo, Chaohui; Li, Jialiang - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 408-422
Persistent link: https://www.econbiz.de/10012804127
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Dynamic semiparametric factor model with structural breaks
Chen, Likai; Wang, Weining; Wu, Wei Biao - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 757-771
Persistent link: https://www.econbiz.de/10012587979
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Markov-switching three-pass regression filter
Guérin, Pierre; Leiva-Leon, Danilo; Marcellino, … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 285-302
Persistent link: https://www.econbiz.de/10012262467
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Forecasting with nonspurious factors in U.S. macroeconomic time series
Yamamoto, Yohei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 81-106
Persistent link: https://www.econbiz.de/10011691219
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Short-term GDP forecasting with a mixed-frequency dynamic factor model with stochastic volatility
Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 118-127
Persistent link: https://www.econbiz.de/10011691233
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Identification of unknown common factors : leaders and followers
Parker, Jason; Sul, Donggyu - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 227-239
Persistent link: https://www.econbiz.de/10011691319
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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
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Rejoinder: 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. 353-356
Persistent link: https://www.econbiz.de/10011691450
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Modeling multivariate volatilities via latent common factors
Li, Weiming; Gao, Jing; Li, Kunpeng; Yao, Qiwei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 564-573
Persistent link: https://www.econbiz.de/10011692411