Over the last decade, the microstructure approach to exchange rates has become very popular. The underlying idea of this approach is that the order flows at different levels of aggregation contain valuable information to explain exchange rate movements. The bulk of empirical literature has...

We examine the short-term performance of two alternative approaches of forecasting from dynamic factor models. The first approach extracts the seasonal component of the individual indicators before estimating the dynamic factor model, while the alternative uses the non seasonally adjusted data...

In this paper we extend the Stock and Watson’s (Leading economic indicators, new approaches and forecasting records, <CitationRef CitationID="CR17">1991</CitationRef>) single-index dynamic factor model in an econometric framework that has the advantage of combining information from real and financial indicators published at different...</citationref>