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Eigenvalue ratio estimators for the number of common factors
Cavicchioli, Maddalena; Forni, Mario; Lippi, Marco; … - 2016
Persistent link: https://www.econbiz.de/10011544556
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Direct estimation of the risk neutral factor dynamics of affine term structure models
Bams, Dennis - 1998
Persistent link: https://www.econbiz.de/10013422670
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Regime switches in the risk-return trade-off
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - 2013
Persistent link: https://www.econbiz.de/10010206904
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Testing asymmetric-information asset pricing models
Kelly, Bryan; Ljungqvist, Alexander - 2009
Persistent link: https://www.econbiz.de/10003814922
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A parametric estimation method for dynamic factor models of large dimensions
Kapetanios, George; Marcellino, Massimiliano - 2006
Persistent link: https://www.econbiz.de/10003322844
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Factor analysis with large panels volatility proxies
Ghysels, Eric - 2014
Persistent link: https://www.econbiz.de/10010382083
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Quantile factor models
Chen, Liang; Dolado, Juan J.; Gonzalo, Jesús - 2018
Persistent link: https://www.econbiz.de/10011884747
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Investing in systematic factor premiums
Koedijk, Kees; Slager, Alfred; Stork, Philip - 2015
Persistent link: https://www.econbiz.de/10011389259
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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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Structural FECM : cointegration in large-scale structural FAVAR models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - 2014
Persistent link: https://www.econbiz.de/10010363312