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A dynamic factor model of the yield curve components as a predictor of the economy
16 references·2 citing·38 second hop
A dynamic factor model of the yield curve components as a predictor of the economy (2016)A dynamic factor model of the yield curve…The U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…The macroeconomy and the yield curve: a dynamic latent factor approach (2005)The macroeconomy and the yiel…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Predicting U.S. Recessions: F…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyTests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Output Fluctuations in the United States: What Has Changed since the Early 1980's?Output Fluctuations in the Un…A systematic literature review on business cycle approaches: Measurement, nature, duration (2023)A systematic literature revie…Forecasting the Probability of Recessions in South Africa: the Role of Decomposed Term Spread and Economic Policy Uncertainty (2018)Forecasting the Probability o…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)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)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Discretion versus policy rules in practice (1993)Sovereign default and debt renegotiation (2009)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Forecasting Inflation (2013)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)American Economic Review (2019)Explaining the Rate Spread on Corporate Bonds (2001)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing for unit roots in heterogeneous panels (2003)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

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  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited
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  • 2003Forecasting Output and Inflation: The Role of Asset Prices

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1,076 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach967 cited
  • Cited by

    • 2018Forecasting the Probability of Recessions in South Africa: the Role of Decomposed Term Spread and Economic Policy Uncertainty14 cited
    • 2023A systematic literature review on business cycle approaches: Measurement, nature, duration9 cited