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Information, data dimension and factor structure

Jacobs, Jan; Otter, Pieter W.; Reijer, Ard H. J. den - 2011 - Rev.

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Time-varying risk premium in large cross-sectional equity datasets

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Observation-driven mixed-measurement dynamic factor models with an application to credit risk

Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, … - In: The review of economics and statistics 96 (2014) 5, pp. 898-915

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A stochastic variance factor model for large datasets and an application to S&P data

Cipollini, Andrea; Kapetanios, George - In: Economics letters 100 (2008) 1, pp. 130-134

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Do college-bound high school students need an extra year? : Evidence from Ontario's 'double cohort'

Morin, Louis-Philippe (contributor) - 2007

The Local Average Treatment Effect (LATE) interpretation of the IV estimates of the returns to schooling is becoming increasingly popular. Typically, researchers reporting LATE estimates do not provide systematic evidence that there is substantial heterogeneity across different ability levels in...

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Determinants of S&P 500 index option returns

Cao, Charles Q.; Huang, Jing-Zhi - In: Review of derivatives research 10 (2007) 1, pp. 1-38

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Dynamic factor models for multivariate count data : an application to stock-market trading activity

Jung, Robert (contributor); Liesenfeld, Roman (contributor); … - 2008

). Maximum Likelihood estimation requires high-dimensional numerical integration in order to marginalize the joint distribution …

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Risk factors for the Swiss stock market

Ammann, Manuel; Steiner, Michael - In: Swiss journal of economics and statistics 144 (2008) 1, pp. 1-35

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Risk factors for the Swiss stock market

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Multifaktormodelle zur Erklärung deutscher Aktienrenditen : eine empirische Analyse

Ziegler, Andreas; Schröder, Michael; Schulz, Anja; … - In: Schmalenbachs Zeitschrift für betriebswirtschaftliche … 59 (2007) 3, pp. 355-389

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