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High dimensional minimum variance portfolio estimation under statistical factor models

Ding, Yi; Li, Yingying; Zheng, Xinghua - In: Journal of econometrics 222 (2021) 1,2, pp. 502-515

Persistent link: https://www.econbiz.de/10012619723

Maximum likelihood estimation and inference for high dimensional nonlinear factor models

Wang, Fa - 2017

Persistent link: https://www.econbiz.de/10013369930

Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions

Wang, Fa - In: Journal of econometrics 229 (2022) 1, pp. 180-200

Persistent link: https://www.econbiz.de/10013441851

Estimation and inference for high dimensional factor model with regime switching

Urga, Giovanni; Wang, Fa - In: Journal of econometrics 241 (2024) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10015075174

Systemic real and financial risks : measurement, forecasting, and stress testing

De Nicolò, Gianni; Lucchetta, Marcella - 2012

Persistent link: https://www.econbiz.de/10009572513

Systemic Real and Financial Risks : Measurement, Forecasting, and Stress Testing

De Nicoló, Gianni - 2012

This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) stress-tests as measures of the dynamics of responses of systemic risk...

Persistent link: https://www.econbiz.de/10013108625

Systemic Real and Financial Risks : Measurement, Forecasting, and Stress Testing

De Nicolo, Gianni - 2017

Building on De Nicolò and Lucchetta (2010), this paper presents a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) reduced-form stress tests...

Persistent link: https://www.econbiz.de/10012976160