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Forecasting macroeconomic variables using collapsed dynamic factor analysis
Bräuning, Falk; Koopman, Siem Jan - In: International journal of forecasting 30 (2014) 3, pp. 572-584
Persistent link: https://www.econbiz.de/10010513606
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Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
Argyropoulos, Efthymios; Tzavalis, Elias - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 49-70
Persistent link: https://www.econbiz.de/10011311197
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Portfolio risk management in a data-rich environment
Bouaddi, Mohammed; Taamouti, Abderrahim - In: Financial markets and portfolio management 26 (2012) 4, pp. 469-494
Persistent link: https://www.econbiz.de/10009667499
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Detecting big structural breaks in large factor models
Chen, Liang; Dolado, Juan J.; Gonzalo, Jesús - In: Journal of econometrics 180 (2014) 1, pp. 30-48
Persistent link: https://www.econbiz.de/10010379487
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Testing a large number of hypotheses in approximate factor models
Amengual, Dante; Repetto, Luca - 2014
Persistent link: https://www.econbiz.de/10011408282
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The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation
Argyropoulos, Efthymios; Tzavalis, Elias - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 785-796
Persistent link: https://www.econbiz.de/10012655704
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Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
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In-sample inference and forecasting in misspecified factor models
Carrasco, Marine; Rossi, Barbara - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 313-338
Persistent link: https://www.econbiz.de/10011691438
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Non-linear exchange rate relationships : an automated model selection approach with indicator saturation
Stillwagon, Josh R. - In: The North American journal of economics and finance : a … 37 (2016), pp. 84-109
Persistent link: https://www.econbiz.de/10011672899
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Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 2, pp. 384-399
Persistent link: https://www.econbiz.de/10011920525