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61
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61
A latent factor model for forecasting realized variances
Calzolari, Giorgio
;
Halbleib, Roxana
;
Zagidullina, Aygul
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 860-909
Persistent link: https://www.econbiz.de/10012799052
Saved in:
62
Markov-switching three-pass regression filter
Guérin, Pierre
;
Leiva-Leon, Danilo
;
Marcellino, …
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 285-302
Persistent link: https://www.econbiz.de/10012262467
Saved in:
63
Daily news sentiment and monthly surveys : a mixed-frequencydynamic factor model for nowcasting consumer confidence
Algaba, Andres
;
Borms, Samuel
;
Boudt, Kris
;
Verbeken, Brecht
-
2021
model framework uses a novel covariance matrix specification. Model
estimation
and real-time filtering of the latent …
Persistent link: https://www.econbiz.de/10012437743
Saved in:
64
Mixed-frequency macro-finance factor models :
theory
and applications
Andreou, Elena
;
Gagliardini, Patrick
;
Ghysels, Eric
; …
- In:
Journal of financial econometrics
18
(
2020
)
3
,
pp. 585-628
Persistent link: https://www.econbiz.de/10012316703
Saved in:
65
Mortality forecasting using factor models : time-varying or time-invariant factor loadings?
He, Lingyu
;
Huang, Fei
;
Shi, Jianjie
;
Yang, Yanrong
- In:
Insurance / Mathematics & economics
98
(
2021
),
pp. 14-34
Persistent link: https://www.econbiz.de/10012545273
Saved in:
66
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
Saved in:
67
Forecasting stock returns with large dimensional factor models
Giovannelli, Alessandro
;
Massacci, Daniele
;
Soccorsi, …
-
2020
Persistent link: https://www.econbiz.de/10012299362
Saved in:
68
Forecasting high-dimensional realized volatility matrices using a factor model
Shen, Keren
;
Yao, Jianfeng
;
Li, Wai Keung
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1879-1887
Persistent link: https://www.econbiz.de/10012295649
Saved in:
69
Forecast ranked tailored equity portfolios
Buncic, Daniel
;
Stern, Cord
- In:
Journal of international financial markets, …
63
(
2019
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012263321
Saved in:
70
Change point tests in functional factor models with application to Yield curves
Bardsley, Patrick
;
Horváth, Lajos
;
Kokoszka, Piotr
; …
- In:
The econometrics journal
20
(
2017
)
1
,
pp. 86-117
Persistent link: https://www.econbiz.de/10011719969
Saved in:
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