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Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - 2013
Persistent link: https://www.econbiz.de/10009724167
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
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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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Macroeconomic shocks and evolution of term structure of interest rate : a dynamic latent factor approach
Singh, Sanjay; Hatekar, Neeraj R. - In: Indian economic review : official journal of Delhi … 53 (2018) 1/2, pp. 245-262
Persistent link: https://www.econbiz.de/10012225832
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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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Can Gaussian factor models of commodity prices capture the financialization phenomenon?
Aiube, Fernando Antônio Lucena; Faquieri, Winicius Botelho - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-10
Persistent link: https://www.econbiz.de/10012203674
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Rank tests at jump events
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
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Global macroeconomic uncertainty
Berger, Tino; Grabert, Sibylle; Kempa, Bernd - In: Journal of macroeconomics 53 (2017), pp. 42-56
Persistent link: https://www.econbiz.de/10011753426
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Nowcasting GDP with a pool of factor models and a fast estimation algorithm
Eraslan, Sercan; Schröder, Maximilian - In: International journal of forecasting 39 (2023) 3, pp. 1460-1476
Persistent link: https://www.econbiz.de/10014465295
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Identification of global and local shocks in international financial markets via general dynamic factor models
Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - In: Journal of financial econometrics 17 (2019) 3, pp. 462-494
Persistent link: https://www.econbiz.de/10012054816