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Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
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Dynamic factor models with infinite-dimensional factor spaces: One-sided representations (2014)Dynamic factor models with infinite-dimen…Macro Factors in Bond Risk Premia (2009)Macro Factors in Bond Risk Pr…Nowcasting: The real-time informational content of macroeconomic data (2008)Nowcasting: The real-time inf…Determining the Number of Factors in the General Dynamic Factor Model (2007)Determining the Number of Fac…The empirical risk–return relation: A factor analysis approach☆ (2006)The empirical risk–return rel…The Generalized Dynamic Factor Model (2005)The Generalized Dynamic Facto…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…Implications of Dynamic Factor Models for VAR Analysis (2005)Implications of Dynamic Facto…Monetary policy in a data-rich environment (2003)Monetary policy in a data-ric…Inferential Theory for Factor Models of Large Dimensions (2003)Inferential Theory for Factor…Macroeconomic Forecasting Using Diffusion Indexes (2002)Macroeconomic Forecasting Usi…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…The Generalized Dynamic-Factor Model: Identification and Estimation (2000)The Generalized Dynamic-Facto…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1982)Arbitrage, Factor Structure, …Latent Variables in Socio-Economic Models. (1978)Latent Variables in Socio-Eco…Forecasting stock returns with large dimensional factor models (2021)Forecasting stock returns wit…Research on China's financial systemic risk contagion under jump and heavy-tailed risk (2020)Research on China's financial…Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals (2020)Generalized dynamic factor mo…Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors (2020)Cointegration and Error Corre…Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach (2019)Analyzing credit risk transmi…Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis (2017)Dynamic factor models with in…Non-Stationary Dynamic Factor Models for Large Datasets (2016)Non-Stationary Dynamic Factor…Non-Stationary Dynamic Factor Models for Large Datasets (2016)Non-Stationary Dynamic Factor…Dynamic Factor Models, Cointegration, and Error Correction Mechanisms (2016)Dynamic Factor Models, Cointe…Principal Component Analysis of High Frequency Data (2015)Principal Component Analysis …Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)New Indexes of Coincident and Leading Economic Indicators (1989)Large Bayesian vector auto regressions (2009)Real-Time Measurement of Business Conditions (2009)Prior Selection for Vector Autoregressions (2014)Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory (1977)Panels with Nonstationary Multifactor Error Structures (2006)Exploring the international linkages of the euro area: a global VAR analysis (2007)U.S. Monetary Policy and the Global Financial Cycle (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Transition Modeling and Econometric Convergence Tests (2007)Macroeconomics and Reality (1980)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)The arbitrage theory of capital asset pricing (1976)An Empirical Investigation of the Arbitrage Pricing Theory (1980)The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Common Risk Factors in Currency Markets (2011)Pricing the term structure with linear regressions (2013)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Measuring Uncertainty (2015)Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)International Stock Return Comovements (2005)
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References

  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 2003Inferential Theory for Factor Models of Large Dimensions1,688 cited
  • 2008Nowcasting: The real-time informational content of macroeconomic data1,153 cited
  • 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets1,097 cited
  • 2009Macro Factors in Bond Risk Premia1,043 cited
  • 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets975 cited
  • 2005Implications of Dynamic Factor Models for VAR Analysis870 cited
  • 2005The Generalized Dynamic Factor Model824 cited
  • 2003Monetary policy in a data-rich environment702 cited
  • 2006The empirical risk–return relation: A factor analysis approach☆666 cited
  • 1978Latent Variables in Socio-Economic Models.616 cited

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  • 2007Determining the Number of Factors in the General Dynamic Factor Model559 cited
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    • 2021Forecasting stock returns with large dimensional factor models30 cited
    • 2016Non-Stationary Dynamic Factor Models for Large Datasets27 cited
    • 2020Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors26 cited
    • 2016Dynamic Factor Models, Cointegration, and Error Correction Mechanisms19 cited
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