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Small- versus big-data factor extraction in dynamic factor models : an empirical assessment

Poncela, Pilar; Ruiz, Esther - In: Dynamic factor models, (pp. 401-434). 2016

Persistent link: https://www.econbiz.de/10011448704

30 years of cointegration and dynamic factor models forecasting and its future with big data : editorial

Escribano, Álvaro; Peña, Daniel; Ruiz, Esther - In: International journal of forecasting 37 (2021) 4, pp. 1333-1337

Persistent link: https://www.econbiz.de/10013274271

Factor extraction using Kalman filter and smoothing : this is not just another survey

Poncela, Pilar; Ruiz, Esther; Miranda, Karen - In: International journal of forecasting 37 (2021) 4, pp. 1399-1425

Persistent link: https://www.econbiz.de/10013274284

Estimating non-stationary common factors : implications for risk sharing

Corona, Francisco; Poncela, Pilar; Ruiz, Esther - In: Computational economics 55 (2020) 1, pp. 37-60

Persistent link: https://www.econbiz.de/10012222591

Growth in stress

González-Rivera, Gloria; Maldonado, Javier; Ruiz, Esther - In: International journal of forecasting 35 (2019) 3, pp. 948-966

Persistent link: https://www.econbiz.de/10012305193

Determining the number of factors after stationary univariate transformations

Corona, Francisco; Poncela, Pilar; Ruiz, Esther - In: Empirical economics : a journal of the Institute for … 53 (2017) 1, pp. 351-372

Persistent link: https://www.econbiz.de/10011941375

A comment on the dynamic factor model with dynamic factors

Poncela, Pilar; Ruiz, Esther - 2020

In this paper, the authors comment on the Monte Carlo results of the paper by Lucchetti and Veneti (A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics), 2020)) that studies and compares the performance of the...

Persistent link: https://www.econbiz.de/10012208913

Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models

Fresoli, Diego; Poncela, Pilar; Ruiz, Esther - In: Economics letters 230 (2023), pp. 1-5

Persistent link: https://www.econbiz.de/10014460331

Special section : 30 years of cointegration and dynamic factor models

Escribano, Álvaro (ed.); Peña, Daniel (ed.); … - 2021

Persistent link: https://www.econbiz.de/10013274618

The factor structure of exchange rates volatility : global and intermittent factors

Caporin, Massimiliano; Rodríguez-Caballero, Carlos Vladimir - In: Empirical economics : a quarterly journal of the … 67 (2024) 1, pp. 31-45

Persistent link: https://www.econbiz.de/10015048346