Nothing Special   »   [go: up one dir, main page]
create a website
A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Wu, J ; Tang, H ; Linton, O B.
In: Cambridge Working Papers in Economics.
RePEc:cam:camdae:2237.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 26

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo.
    In: Papers.
    RePEc:arx:papers:2303.11777.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Anderson, T. W. (2003). An Introduction to Multivariate Statistical Analysis. John Wiley and Sons.
    Paper not yet in RePEc: Add citation now
  2. Anderson, T. W. and H. Rubin (1956). Statistical inference in factor analysis. Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability.
    Paper not yet in RePEc: Add citation now

  3. Aruoba, S. B., F. X. Diebold, and C. Scotti (2009). Real-time measurement of business conditions. Journal of Business & Economic Statistics 27(4), 417–427.

  4. Bai, J. and K. Li (2012). Statistical analysis of factor models of high dimension. The Annals of Statistics 40(1), 436–465.
    Paper not yet in RePEc: Add citation now

  5. Bai, J. and K. Li (2016). Maximum likelihood estimation and inference for approximate factor models of high dimension. The Review of Economics and Statistics 98(2), 298– 309.

  6. Bai, J. and P. Wang (2015). Identification and bayesian estimation of dynamic factor models. Journal of Business & Economic Statistics 33(2), 221–240.

  7. Barigozzi, M. and M. Luciani (2022). Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the em algorithm. arXiv preprint arXiv:1910.03821v3.

  8. Carter, C. K. and R. Kohn (1994). On gibbs sampling for state space models. Biometrika 81(3), 541–553.
    Paper not yet in RePEc: Add citation now

  9. Connor, G., L. R. Goldberg, and R. A. Korajczyk (2010). Portfolio Risk Analysis. Princeton University Press.

  10. Doz, C., D. Giannone, and L. Reichlin (2012). A quasi-maximum likelihood approach for large, approximate dynamic factor models. The Review of Economics and Statistics 94(4), 1014–1024.

  11. Durbin, J. and S. J. Koopman (2012). Time Series Analysis by State Space Methods. Oxford.

  12. Fama, E. F. and K. R. French (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3–56.

  13. Forni, M., M. Hallin, M. Lippi, and L. Reichlin (2000). The generalized dynamic-factor model: Identification and estimation. The Review of Economics and Statistics 82(4), 540–554.

  14. Gagnon, L. and G. A. Karolyi (2006). Price and volatility transmission across borders. Financial Markets, Institutions & Instruments 15(3), 107–158.

  15. Giannone, D., L. Reichlin, and D. Small (2008). Nowcasting: the real-time informational content of macroeconomic data. Journal of Monetary Economics 55, 665–676.

  16. Koch, P. D. and T. W. Koch (1991). Evolution in dynamic linkages across daily national stock indexes. Journal of International Money and Finance 10, 231–251.
    Paper not yet in RePEc: Add citation now
  17. Linton, O. B. and H. Tang (2021). Estimation of the kronecker covariance model by quadratic form. Econometric Theory Forthcoming.
    Paper not yet in RePEc: Add citation now

  18. Martens, M. and S.-H. Poon (2001). Returns synchronization and daily correlation dynamics between international stock markets. Journal of Banking & Finance 25, 1805– 1827.

  19. McLeish, D. L. (1974). Dependent central limit theorems and invariance principles. The Annals of Probability 2(4), 620–628.
    Paper not yet in RePEc: Add citation now
  20. Pan, W. and J. E. Connett (2002). Selecting the working correlation structure in generalized estimation equations with application to the lung health study. Statistica Sinica 12, 475–490.
    Paper not yet in RePEc: Add citation now

  21. Pesaran, M. H., T. Schuermann, and S. M. Weiner (2004). Modeling regional interdependencies using a global error-correcting macroeconometric model. Journal of Business & Economic Statistics 22(2), 129–162.

  22. Quah, D. and T. J. Sargent (1992). A large dynamic index model for large cross sections. In J. H. Stock and M. W. Watson (Eds.), Business Cycles, Indicators and Forecasting, pp. 285 – 310. University of Chicago Press.

  23. Sharma, A. and N. Seth (2012). Literature review of stock market integration: a global perspective. Qualitative Research in Financial Markets 4(1), 84–122.

  24. Stock, J. H. and M. W. Watson (2016). Dynamic factor models, factor-augmented vector autoregressions, and structural vector autoregressions in macroeconomics. In Handbook of Macroeconomics, Volume 2, Chapter 8, pp. 415–525. Elsevier B.V. van der Vaart, A. (1998). Asymptotic Statistics. Cambridge University Press.

  25. van der Vaart, A. and J. A. Wellner (1996). Weak Convergence and Empirical Processes. Springer.
    Paper not yet in RePEc: Add citation now
  26. White, H. (2001). Asymptotic Theory for Econometricians. Emerald.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Dynamic Networks in Large Financial and Economic Systems. (2020). Baruník, Jozef ; Ellington, Michael.
    In: Papers.
    RePEc:arx:papers:2007.07842.

    Full description at Econpapers || Download paper

  2. Money and monetary policy in Israel during the last decade. (2016). Benchimol, Jonathan.
    In: MPRA Paper.
    RePEc:pra:mprapa:69587.

    Full description at Econpapers || Download paper

  3. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics. (2016). Stock, J H ; Watson, M W.
    In: Handbook of Macroeconomics.
    RePEc:eee:macchp:v2-415.

    Full description at Econpapers || Download paper

  4. The State and the Future of Cyprus Macroeconomic Forecasting. (2015). Andreou, Elena ; Kourtellos, Andros.
    In: Cyprus Economic Policy Review.
    RePEc:erc:cypepr:v:9:y:2015:i:1:p:73-90.

    Full description at Econpapers || Download paper

  5. Indicador mensual de actividad económica (IMAE) para el Valle del Cauca. (2015). Vidal Alejandro, Pavel ; Sierra, Lya ; Collazos-Rodriguez, Jaime ; Dominguez, Johana Sanabria .
    In: Borradores de Economia.
    RePEc:bdr:borrec:900.

    Full description at Econpapers || Download paper

  6. Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth. (2014). Hess, Dieter ; Hautsch, Nikolaus.
    In: University of East Anglia Applied and Financial Economics Working Paper Series.
    RePEc:uea:aepppr:2012_56.

    Full description at Econpapers || Download paper

  7. Forecasting with Mixed Frequency Samples: The Case of Common Trends. (2013). Fuleky, Peter ; Bonham, Carl.
    In: Working Papers.
    RePEc:hai:wpaper:201305.

    Full description at Econpapers || Download paper

  8. Forecasting Based on Common Trends in Mixed Frequency Samples. (2013). Fuleky, Peter ; Bonham, Carl.
    In: Working Papers.
    RePEc:hae:wpaper:2010-17r1.

    Full description at Econpapers || Download paper

  9. Identifying long-run risks: a bayesian mixed-frequency approach. (2013). Song, Dongho ; Schorfheide, Frank ; Yaron, Amir.
    In: Working Papers.
    RePEc:fip:fedpwp:13-39.

    Full description at Econpapers || Download paper

  10. A Fear Index to Predict Oil Futures Returns. (2013). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
    In: Working Papers.
    RePEc:fem:femwpa:2013.62.

    Full description at Econpapers || Download paper

  11. A Fear Index to Predict Oil Futures Returns. (2013). Sevi, Benoit ; Chevallier, Julien.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/11714.

    Full description at Econpapers || Download paper

  12. Dynamic Factor Models: A review of the Literature .. (2013). Barhoumi, Karim ; Ferrara, Laurent ; Darné, Olivier ; Darne, O..
    In: Working papers.
    RePEc:bfr:banfra:430.

    Full description at Econpapers || Download paper

  13. Short-Run Forecasting of Argentine GDP Growth. (2013). Martinez-Martin, Jaime ; Dal Bianco, Marcos ; Camacho, Maximo.
    In: Working Papers.
    RePEc:bbv:wpaper:1314.

    Full description at Econpapers || Download paper

  14. Fiscal volatility shocks and economic activity. (2012). Rubio-Ramirez, Juan F ; Kuester, Keith ; Guerron, Pablo ; Fernandez-Villaverde, Jesus ; Guerron-Quintana, Pablo.
    In: Working Papers.
    RePEc:fip:fedpwp:11-32.

    Full description at Econpapers || Download paper

  15. Modeling credit contagion via the updating of fragile beliefs. (2012). Benzoni, Luca.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-2012-04.

    Full description at Econpapers || Download paper

  16. ‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables. (2012). Paye, Bradley S..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:106:y:2012:i:3:p:527-546.

    Full description at Econpapers || Download paper

  17. Stock salience and the asymmetric market effect of consumer sentiment news. (2012). Subrahmanyam, Avanidhar ; faff, robert ; Akhtar, Shumi ; Oliver, Barry .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:12:p:3289-3301.

    Full description at Econpapers || Download paper

  18. Testing forecasting model versatility. (2012). Taylor, Nick.
    In: Economics Letters.
    RePEc:eee:ecolet:v:117:y:2012:i:3:p:803-806.

    Full description at Econpapers || Download paper

  19. What drives inflation in New Keynesian models?. (2012). Wang, Mu-Chun ; Matthes, Christian.
    In: Economics Letters.
    RePEc:eee:ecolet:v:114:y:2012:i:3:p:338-342.

    Full description at Econpapers || Download paper

  20. Mergers and corporate debt financing. (2012). Selvarajah, Esaignani ; Ursel, Nancy .
    In: Economics Letters.
    RePEc:eee:ecolet:v:114:y:2012:i:3:p:296-298.

    Full description at Econpapers || Download paper

  21. The yield curve and the macro-economy across time and frequencies. (2012). Martins, Manuel ; Aguiar-Conraria, Luís ; Martins, Manuel M. F., ; Soares, Maria Joana.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:12:p:1950-1970.

    Full description at Econpapers || Download paper

  22. Green Shoots and Double Dips in the Euro Area. A Real Time Measure. (2012). Poncela, Pilar ; Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8896.

    Full description at Econpapers || Download paper

  23. Finite sample performance of small versus large scale dynamic factor models. (2012). Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel ; Alvarez, Rocio .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8867.

    Full description at Econpapers || Download paper

  24. Markov-switching dynamic factor models in real time. (2012). Poncela, Pilar ; Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8866.

    Full description at Econpapers || Download paper

  25. Extracting nonlinear signals from several economic indicators. (2012). Poncela, Pilar ; Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8865.

    Full description at Econpapers || Download paper

  26. Indicador de Condiciones Económicas. (2012). Gonzalez, Mario ; Ceballos, Luis ; Luis Ceballos S., ; Mario Gonzalez F., .
    In: Notas de Investigación Journal Economía Chilena (The Chilean Economy).
    RePEc:chb:bcchni:v:15:y:2012:i:1:p:105-117.

    Full description at Econpapers || Download paper

  27. Securitization and bank intermediation function. (2011). Zagonov, Maxim.
    In: MPRA Paper.
    RePEc:pra:mprapa:34961.

    Full description at Econpapers || Download paper

  28. Anxious periods and bank lending. (2011). Tsoumas, Chris ; Kouretas, Georgios ; Delis, Manthos.
    In: MPRA Paper.
    RePEc:pra:mprapa:32422.

    Full description at Econpapers || Download paper

  29. Fiscal Volatility Shocks and Economic Activity. (2011). Rubio-Ramirez, Juan F ; Kuester, Keith ; Guerron, Pablo ; Fernandez-Villaverde, Jesus ; Guerron-Quintana, Pablo.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:11-022.

    Full description at Econpapers || Download paper

  30. Securitization and Bank Intermediation Function. (2011). Zagonov, Maxim.
    In: Finance.
    RePEc:nos:wuwpfi:zagonov-wpsz2011.

    Full description at Econpapers || Download paper

  31. Fiscal Volatility Shocks and Economic Activity. (2011). Rubio-Ramirez, Juan F ; Kuester, Keith ; Guerron, Pablo ; Fernandez-Villaverde, Jesus ; Guerron-Quintana, Pablo A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17317.

    Full description at Econpapers || Download paper

  32. Forecasting with Factor Models Estimated on Large Datasets: A Review of the Recent Literature and Evidence for German GDP. (2011). Schumacher, Christian.
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
    RePEc:jns:jbstat:v:231:y:2011:i:1:p:28-49.

    Full description at Econpapers || Download paper

  33. Regional Indexes of Activity: Combining the Old with the New. (2011). Lim, Guay ; Claus, Edda ; Chua, Chew.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2011n15.

    Full description at Econpapers || Download paper

  34. Forecasting Based on Common Trends in Mixed Frequency Samples. (2011). Fuleky, Peter ; Bonham, Carl.
    In: Working Papers.
    RePEc:hai:wpaper:201110.

    Full description at Econpapers || Download paper

  35. A chronology of turning points in economic activity: Spain, 1850-2011. (2011). Jorda, Oscar ; Berge, Travis.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp11-14.

    Full description at Econpapers || Download paper

  36. Estimating VARs sampled at mixed or irregular spaced frequencies : a Bayesian approach. (2011). Kim, Tae Bong ; Foerster, Andrew ; Chiu, Ching-Wai (Jeremy) ; Seoane, Hernan D. ; Eraker, Bjorn .
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp11-11.

    Full description at Econpapers || Download paper

  37. A chronology of turning points in economic activity: Spain 1850-2011. (2011). Jorda, Oscar ; Berge, Travis.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2011-28.

    Full description at Econpapers || Download paper

  38. Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios. (2011). Panayotov, George ; Bakshi, Gurdip ; Skoulakis, Georgios .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:100:y:2011:i:3:p:475-495.

    Full description at Econpapers || Download paper

  39. Size, book-to-market ratio and macroeconomic news. (2011). Cenesizoglu, Tolga.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:2:p:248-270.

    Full description at Econpapers || Download paper

  40. Decision-making in hard times: What is a recession, why do we care and how do we know when we are in one?. (2011). Shields, K ; Lee, Kevin.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:22:y:2011:i:1:p:43-60.

    Full description at Econpapers || Download paper

  41. Stock market firm-level information and real economic activity. (2011). Fornari, Fabio ; di Mauro, Filippo ; Mannucci, Dario .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20111366.

    Full description at Econpapers || Download paper

  42. Fiscal Volatility Shocks and Economic Activity. (2011). Rubio-Ramirez, Juan F ; Kuester, Keith ; Guerron, Pablo ; Fernandez-Villaverde, Jesus ; Guerron-Quintana, Pablo A..
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8528.

    Full description at Econpapers || Download paper

  43. Un Modelo de Factores Dinámicos de Pequeña Escala para el Imacec. (2011). Gonzalez P., Wildo ; Gonzalo Echavarria M., .
    In: Notas de Investigación Journal Economía Chilena (The Chilean Economy).
    RePEc:chb:bcchni:v:14:y:2011:i:2:p:109-118.

    Full description at Econpapers || Download paper

  44. Nowcasting GDP in Real-Time: A Density Combination Approach. (2011). Thorsrud, Leif ; Jore, Anne Sofie ; Aastveit, Knut Are ; Gerdrup, Karsten R..
    In: Working Papers.
    RePEc:bny:wpaper:0003.

    Full description at Econpapers || Download paper

  45. Econometric Analysis and Prediction of Recurrent Events. (2011). pagan, adrian ; Harding, Don.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-33.

    Full description at Econpapers || Download paper

  46. Heterogeneity in Stock Pricing: A STAR Model with Multivariate Transition Functions. (2010). Lof, Matthijs.
    In: MPRA Paper.
    RePEc:pra:mprapa:30520.

    Full description at Econpapers || Download paper

  47. Introducing the euro-sting: Short-term indicator of euro area growth. (2010). Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:25:y:2010:i:4:p:663-694.

    Full description at Econpapers || Download paper

  48. Gathering insights on the forest from the trees: a new metric for financial conditions. (2010). Brave, Scott ; Butters, Andrew R..
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-2010-07.

    Full description at Econpapers || Download paper

  49. Introducing the Euro-STING: Short-Term Indicator of Euro Area Growth. (2009). Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7343.

    Full description at Econpapers || Download paper

  50. A Note on Monitoring Daily Economic Activity Via Electronic Transaction Data. (2009). Tkacz, Greg ; Galbraith, John.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-23.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-28 17:31:07 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.