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Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
16 references·12 citing·36 second hop
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this work references cited by second hop

References

  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2004A PANIC Attack on Unit Roots and Cointegration1,890 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 2003Inferential Theory for Factor Models of Large Dimensions1,688 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 2008Nowcasting: The real-time informational content of macroeconomic data1,153 cited
  • 2005Implications of Dynamic Factor Models for VAR Analysis870 cited
  • 2001Modeling and Forecasting Realized Volatility824 cited

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  • 2005The Generalized Dynamic Factor Model824 cited
  • Cited by

    • 2014Price-Cost Mark-Ups in the Spanish Economy: A Microeconomic Perspective80 cited
    • 2013Short-Term Forecasting for Empirical Economists. A Survey of the Recently Proposed Algorithms61 cited
    • 2014Short-Sale Constraints and Financial Stability: Evidence from the Spanish Market51 cited
    • 2012Can We Use Seasonally Adjusted Indicators in Dynamic Factor Models?46 cited
    • 2014Third-Country Relations in the Directive Establishing a Framework for the Recovery and Resolution of Credit Institutions44 cited
    • 2012Why Did High Productivity Growth of Banks Precede the Financial Crisis?44 cited
    • 2013Meeting Our D€Stiny. A Disaggregated Euro Area Short Term Indicator Model to Forecast GDP (Y) Growth42 cited
    • 2014When Does Cash Matter? Evidence for Private Firms37 cited
    • 2014Correlations32 cited
    • 2013Retirement Patterns of Couples in Europe30 cited
    • 2012The Volatility Factor Structure29 cited
    • 2014The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications27 cited