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Dynamic Hierarchical Factor Models
16 references·16 citing·42 second hopsampled
Dynamic Hierarchical Factor Models (2013)Dynamic Hierarchical Factor ModelsShould Macroeconomic Forecasters Use Daily Financial Data and How? 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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
  • 1989New Indexes of Coincident and Leading Economic Indicators1,795 cited
  • 2003International Business Cycles: World, Region, and Country-Specific Factors1,234 cited
  • 2008Nowcasting: The real-time informational content of macroeconomic data1,153 cited
  • 2010International Economic Review911 cited
  • 2005The Generalized Dynamic Factor Model824 cited
  • 2006Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions629 cited
  • 2005Understanding the Evolution of World Business Cycles541 cited
  • 2000Bayesian Dynamic Factor Models and Portfolio Allocation454 cited
  • 1996Measuring the Pricing Error of the Arbitrage Pricing Theory433 cited
  • 2013Should Macroeconomic Forecasters Use Daily Financial Data and How?331 cited
  • 2008Global yield curve dynamics and interactions: A dynamic Nelson–Siegel approach261 cited
  • 2009Forecasting in Dynamic Factor Models Subject to Structural Instability*248 cited
  • 1998Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa

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209 cited
  • 1993Global Versus Country-Specific Productivity Shocks and the Current Account168 cited
  • Cited by

    • 2015Panel Data Models with Grouped Factor Structure Under Unknown Group Membership136 cited
    • 2010Dynamic factors in the presence of blocks91 cited
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    • 2022Uncertainty before and during COVID‐19: A survey74 cited
    • 2016The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences66 cited
    • 2021Factor models with local factors — Determining the number of relevant factors63 cited
    • 2013Forecasting by factors, by variables, by both or neither?57 cited
    • 2011Forecasting with Approximate Dynamic Factor Models: The Role of Non-Pervasive Shocks56 cited
    • 2016Analyzing International Business and Financial Cycles using Multi-Level Factor Models: A Comparison of Alternative Approaches51 cited
    • 2016Global Credit Risk: World, Country and Industry Factors38 cited
    • 2015Euro Area business cycles in turbulent times: convergence or decoupling?30 cited
    • 2021Factor extraction using Kalman filter and smoothing: This is not just another survey29 cited
    • 2017Co-movement between equity and bond markets23 cited
    • 2019Carry Trades and Commodity Risk Factors22 cited
    • 2019Decomposing global yield curve co-movement20 cited
    • 2012An Endogenously Clustered Factor Approach to International Business Cycles18 cited