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Dynamic Factor Models: A Review of the Literature
16 references·2 citing·36 second hop
Dynamic Factor Models: A Review of the Literature (2013)Dynamic Factor Models: A Review of the Li…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Nowcasting: The real-time informational content of macroeconomic data (2008)Nowcasting: The real-time inf…MIDAS Regressions: Further Results and New Directions (2007)MIDAS Regressions: Further Re…Chapter 4 Forecast Combinations (2006)Chapter 4 Forecast Combinatio…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…International Business Cycles: World, Region, and Country-Specific Factors (2003)International Business Cycles…Inferential Theory for Factor Models of Large Dimensions (2003)Inferential Theory for Factor…Macroeconomic Forecasting Using Diffusion Indexes (2002)Macroeconomic Forecasting Usi…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…Forecasting inflation (1999)Forecasting inflationThe Econometrics of Financial Markets (1997)The Econometrics of Financial…New Indexes of Coincident and Leading Economic Indicators (1989)New Indexes of Coincident and…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance (2015)A new approach to statistical…Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey (2014)Structural Vector Autoregress…Tests for Unit Roots: A Monte Carlo Investigation (1989)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)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)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Forecasting Using Principal Components From a Large Number of Predictors (2002)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Measuring Uncertainty (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)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)Large Bayesian vector auto regressions (2009)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 Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Transition Modeling and Econometric Convergence Tests (2007)The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Measuring the Output Responses to Fiscal Policy (2012)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
  • 1989New Indexes of Coincident and Leading Economic Indicators1,795 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 2003Inferential Theory for Factor Models of Large Dimensions1,688 cited
  • 2006Chapter 4 Forecast Combinations1,318 cited
  • 1999Forecasting inflation1,273 cited
  • 2003International Business Cycles: World, Region, and Country-Specific Factors1,234 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

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  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
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    • 2015A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance26 cited
    • 2014Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey15 cited