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Determining the number of global and country-specific factors in the euro area
16 references·0 citing·34 second hopsampled
Determining the number of global and country-specific factors in the euro area (2013)Determining the number of global and coun…WILL BUSINESS CYCLES IN THE EURO AREA CONVERGE? A CRITICAL SURVEY OF EMPIRICAL RESEARCH (2007)WILL BUSINESS CYCLES IN THE E…Similarities and convergence in G-7 cycles (2007)Similarities and convergence …The Generalized Dynamic Factor Model (2005)The Generalized Dynamic Facto…Monetary policy in a data-rich environment (2003)Monetary policy in a data-ric…Macroeconomic forecasting in the Euro area: Country specific versus area-wide information (2003)Macroeconomic forecasting in …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…Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics (1998)Let's Get Real: A Factor Anal…Measuring the Pricing Error of the Arbitrage Pricing Theory (1996)Measuring the Pricing Error o…Risk and return in an equilibrium APT (1988)Risk and return in an equilib…Risk and Return in an Equilibrium APT (1987)Risk and Return in an Equilib…Performance measurement with the arbitrage pricing theory (1986)Performance measurement with …Funds, Factors, and Diversification in Arbitrage Pricing Models (1983)Funds, Factors, and Diversifi…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…The Econometrics of Financial Markets (1997)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)A simple panel unit root test in the presence of cross‐section dependence (2007)The Econometrics of Financial Markets (2012)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**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)A PANIC Attack on Unit Roots and Cointegration (2004)Testing Weak Cross-Sectional Dependence in Large Panels (2014)Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory (1977)Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)New Indexes of Coincident and Leading Economic Indicators (1989)Forecasting Using Principal Components From a Large Number of Predictors (2002)Measuring Uncertainty (2015)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Stock Markets, Banks, and Economic Growth (1999)Discretion versus policy rules in practice (1993)The Science of Monetary Policy: A New Keynesian Perspective (1999)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Has the Business Cycle Changed and Why? (2002)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Inferential Theory for Factor Models of Large Dimensions (2003)25 years of time series forecasting (2006)Common Correlated Effects Estimation of Heterogenous Dynamic Panel Data Models with Weakly Exogenous Regressors (2013)
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References

  • 1976The arbitrage theory of capital asset pricing7,207 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,735 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,271 cited
  • 2005The Generalized Dynamic Factor Model893 cited
  • 1986Performance measurement with the arbitrage pricing theory715 cited
  • 2003Monetary policy in a data-rich environment702 cited
  • 1988Risk and return in an equilibrium APT535 cited
  • 1983Funds, Factors, and Diversification in Arbitrage Pricing Models496 cited
  • 1996Measuring the Pricing Error of the Arbitrage Pricing Theory433 cited
  • 2003Macroeconomic forecasting in the Euro area: Country specific versus area-wide information415 cited
  • 1998Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics384 cited
  • 1987Risk and Return in an Equilibrium APT323 cited
  • 2007Similarities and convergence in G-7 cycles318 cited
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WILL BUSINESS CYCLES IN THE EURO AREA CONVERGE? A CRITICAL SURVEY OF EMPIRICAL RESEARCH
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