Nothing Special   »   [go: up one dir, main page]
create a website
Interpolation and backdating with a large information set. (2003). Marcellino, Massimiliano ; Henry, Jerome ; Angelini, Elena.
In: Working Paper Series.
RePEc:ecb:ecbwps:2003252.

Full description at Econpapers || Download paper

Cited: 4

Citations received by this document

Cites: 21

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. Interpolation and backdating with a large information set. (2006). Marcellino, Massimiliano ; Henry, Jerome ; Angelini, Elena.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:30:y:2006:i:12:p:2693-2724.

    Full description at Econpapers || Download paper

  2. Forecasting macroeconomic variables for the new member states of the European Union. (2005). Masten, Igor ; Marcellino, Massimiliano ; Banerjee, Anindya.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005482.

    Full description at Econpapers || Download paper

  3. Pooling-based data interpolation and backdating. (2005). Marcellino, Massimiliano.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5295.

    Full description at Econpapers || Download paper

  4. Forecasting Macroeconomic Variables for the Acceding Countries. (2004). Masten, Igor ; Marcellino, Massimiliano ; Banerjee, Anindya.
    In: Working Papers.
    RePEc:igi:igierp:260.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. [1] Angelini, E., Henry, J. and R. Mestre (2001), âDiïusion index based inÃation forecasts for the Euro areaâ, European Central Bank WP 61.
    Paper not yet in RePEc: Add citation now

  2. [10] Connor, G. and R.A. Korajczyk (1993), âA test for the number of factors in an approximate factor modelâ, Journal of Finance, 48, 12631291.

  3. [11] Denton, F. (1971). âAdjustment of Monthly or Quarterly Series to Annual Totals: An Approach Based on Quadratic Minimization.â Journal of the American Statistical Association, 66, 99-101.
    Paper not yet in RePEc: Add citation now

  4. [12] Fernandez, R.B. (1981), âA Methodological Note on the Estimation of Time-Series.â Review of Economics and Statistics, 63, 471-476.

  5. [13] Forni, M., Hallin, M., Lippi, M. and L. Reichlin (2000), âThe generalized factor model: identiÃcation and estimationâ, The Review of Economic and Statistics, 82, 540-554.

  6. [14] Gomez, V. and A. Maravall (1994), âEstimation, Prediction and Interpolation for Non Stationary Time Series with the Kalman Filter.â Journal of the American Statistical Association, 89, 611-624.
    Paper not yet in RePEc: Add citation now
  7. [16] Harvey, A.C. and R.G. Pierse (1984), âEstimating Missing Observations in Economic Time Series.â Journal of the American Statistical Association, 79, 125-131.
    Paper not yet in RePEc: Add citation now
  8. [17] Kohn, R. and C.F. Ansley (1986), âEstimation, Prediction and Interpolation for ARIMA models with Missing Data.â Journal of the American Statistical Association, 81, 751-761.
    Paper not yet in RePEc: Add citation now
  9. [18] Lisman J.H.C. and J. Sandee (1964), âDerivation of Quarterly Figures from Annual Data.â Applied Statistics, 13, 87-90.
    Paper not yet in RePEc: Add citation now

  10. [19] Litterman, R.B. (1983), âA Random Walk, Markov Model for the Distribution of Time Series.â Journal of Business and Economic Statistics, 1, 169-173.

  11. [2] Artis, M., Banerjee, A. and M. Marcellino (2001), âFactor forecasts for the UKâ, CEPR WP 3119.

  12. [21] Marcellino, M., Stock, J.H. and M. W. Watson (2001), âMacroeconomic forecasting in the Euro area: country speciÃc versus euro wide informationâ, European Economic Review, (forthcoming).

  13. [22] Micula, G. and S. Micula (1998), Handbook of Splines, Dordrecht: Kluwer Academic Publishers.
    Paper not yet in RePEc: Add citation now

  14. [23] Nijman, T.E. and F. C. Palm (1986), The Construction and Use of Approximations for Missing Quarterly Observations: A Model-Based Approach.â Journal of Business and Economic Statistics, 4, 47-58.

  15. [24] Stock, J.H. and M.W. Watson (1998), âDiïusion indexesâ, NBER WP 6702.

  16. [25] Stram, D.O. and W.W.S. Wei (1986), âA Methodological Note on Disaggregation of Time Series Totals.â Journal of Time Series Analysis, 7, 293-302.
    Paper not yet in RePEc: Add citation now

  17. [3] Bai, J. (2003), âInferential theory for factor models of large dimensionâ, Econometrica, 71, 135-171.

  18. [6] Chan, W.S. (1993), âDisaggregation of Annual Time-Series Data into Quarterly Figures: A Comparative Study.â Journal of Forecasting, 12, 677-688.
    Paper not yet in RePEc: Add citation now

  19. [7] Chow, G.C. and Lin, A. (1971), âBest Linear Unbiased Interpolation, Distribution and Extrapolation of Time-Series by Related Series.â Review of Economics and Statistics, 53, 372-375.

  20. [8] Cohen, K.J., Müller, W. and M. W. Padberg (1971), âAutoregressive Approaches to Disaggregation of Time Series Data.â Applied Statistics, 20, 119-129.
    Paper not yet in RePEc: Add citation now

  21. [9] Connor, G. and R.A. Korajczyk (1986), âPerformance measurement with the arbitrage pricing theoryâ, Journal of Financial Economics, 15, 373-394.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information. (2019). LINTON, OLIVER ; la Vecchia, D ; Koo, B.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1916.

    Full description at Econpapers || Download paper

  2. A cross-volatility index for hedging the country risk. (2015). Chevallier, Julien ; Aboura, Sofiane.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:38:y:2015:i:c:p:25-41.

    Full description at Econpapers || Download paper

  3. Likelihood-based Analysis for Dynamic Factor Models. (2014). Koopman, Siem Jan ; Jungbacker, Borus .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080007.

    Full description at Econpapers || Download paper

  4. A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence. (2014). Pesaran, M ; Holly, Sean ; Bailey, Natalia.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4592.

    Full description at Econpapers || Download paper

  5. The Comovement in Commodity Prices; Sources and Implications. (2013). Coibion, Olivier ; Alquist, Ron.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2013/140.

    Full description at Econpapers || Download paper

  6. 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

  7. Empirical cross-sectional asset pricing: a survey. (2012). Goyal, Amit.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:1:p:3-38.

    Full description at Econpapers || Download paper

  8. Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence. (2011). Swanson, Norman ; Kim, Hyun Hak.
    In: Departmental Working Papers.
    RePEc:rut:rutres:201119.

    Full description at Econpapers || Download paper

  9. Diffusion Index Models and Index Proxies: Recent Results and New Directions. (2011). Swanson, Norman ; Armah, Nii Ayi .
    In: Departmental Working Papers.
    RePEc:rut:rutres:201114.

    Full description at Econpapers || Download paper

  10. Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments. (2011). Swanson, Norman ; Armah, Nii Ayi .
    In: Departmental Working Papers.
    RePEc:rut:rutres:201105.

    Full description at Econpapers || Download paper

  11. A Grouped Factor Model. (2011). Chen, Pu.
    In: MPRA Paper.
    RePEc:pra:mprapa:28083.

    Full description at Econpapers || Download paper

  12. Bayesian variable selection and model averaging in the arbitrage pricing theory model. (2010). Ouysse, Rachida ; Kohn, Robert.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:54:y:2010:i:12:p:3249-3268.

    Full description at Econpapers || Download paper

  13. A new look at economic convergence in Europe: a common factor approach. (2009). Hall, Stephen ; Becker, Bettina.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:14:y:2009:i:1:p:85-97.

    Full description at Econpapers || Download paper

  14. Are disaggregate data useful for factor analysis in forecasting French GDP?. (2009). Barhoumi, Karim ; Ferrara, Laurent ; Darné, Olivier.
    In: Working papers.
    RePEc:bfr:banfra:232.

    Full description at Econpapers || Download paper

  15. Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates. (2009). van der Wel, Michel ; Koopman, Siem Jan ; Jungbacker, Borus .
    In: CREATES Research Papers.
    RePEc:aah:create:2009-39.

    Full description at Econpapers || Download paper

  16. Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments. (2008). Swanson, Norman ; Armah, Nii Ayi .
    In: Working Papers.
    RePEc:fip:fedpwp:08-25.

    Full description at Econpapers || Download paper

  17. Macroeconomic and financial market volatilities: an empirical evidence of factor model. (2008). .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2008:i:33:p:1-18.

    Full description at Econpapers || Download paper

  18. GMM Estimation of the Number of Latent Factors. (2007). Perez, M. Fabricio ; Ahn, Seung.
    In: MPRA Paper.
    RePEc:pra:mprapa:4862.

    Full description at Econpapers || Download paper

  19. Olive: a simple method for estimating betas when factors are measured with error.. (2007). Hu, Gang ; Bai, Jushan ; Meng, Ginger .
    In: MPRA Paper.
    RePEc:pra:mprapa:33183.

    Full description at Econpapers || Download paper

  20. A panel data approach to economic forecasting: the bias-corrected average forecast. (2007). Lima, Luiz ; Issler, João.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:642.

    Full description at Econpapers || Download paper

  21. Large Panels with Common Factors and Spatial Correlations. (2007). Pesaran, M ; Tosetti, Elisa .
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2103.

    Full description at Econpapers || Download paper

  22. The Role of Search Frictions and Bargaining for Inflation Dynamics. (2006). Marcellino, Massimiliano ; Kapetanios, George.
    In: Working Papers.
    RePEc:igi:igierp:305.

    Full description at Econpapers || Download paper

  23. A note on bootstraps and robustness. (2006). lancaster, tony ; Linton, Oliver.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:04/06.

    Full description at Econpapers || Download paper

  24. The Stacked Leading Indicators Dynamic Factor Model: A Sensitivity Analysis of Forecast Accuracy using Bootstrapping. (2006). Grenouilleau, Daniel .
    In: European Economy - Economic Papers 2008 - 2015.
    RePEc:euf:ecopap:0249.

    Full description at Econpapers || Download paper

  25. Interpolation and backdating with a large information set. (2006). Marcellino, Massimiliano ; Henry, Jerome ; Angelini, Elena.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:30:y:2006:i:12:p:2693-2724.

    Full description at Econpapers || Download paper

  26. A quasi maximum likelihood approach for large approximate dynamic factor models. (2006). Reichlin, Lucrezia ; Giannone, Domenico ; Doz, Catherine .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006674.

    Full description at Econpapers || Download paper

  27. A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models. (2006). Reichlin, Lucrezia ; Giannone, Domenico ; Doz, Catherine.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5724.

    Full description at Econpapers || Download paper

  28. A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions. (2006). Marcellino, Massimiliano ; Kapetanios, George.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5620.

    Full description at Econpapers || Download paper

  29. Self-Consistent Asset Pricing Models. (2006). Malevergne, Yannick ; Sornette, D..
    In: Papers.
    RePEc:arx:papers:physics/0608284.

    Full description at Econpapers || Download paper

  30. Principal components at work: the empirical analysis of monetary policy with large data sets. (2005). Marcellino, Massimiliano ; Favero, Carlo ; Neglia, Francesca.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:20:y:2005:i:5:p:603-620.

    Full description at Econpapers || Download paper

  31. Comovements in the prices of securities issued by large complex financial institutions. (2005). Stevens, Ibrahim ; Marsh, Ian.
    In: Bank of England working papers.
    RePEc:boe:boeewp:256.

    Full description at Econpapers || Download paper

  32. FORECASTING QUARTERLY BRAZILIAN GDP GROWTH RATE WITH LINEAR AND NONLINEAR DIFFUSION INDEX MODELS. (2005). Ferreira, Roberto ; LUIZ IVAN DE MELO CASTELAR, .
    In: Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting].
    RePEc:anp:en2005:029.

    Full description at Econpapers || Download paper

  33. Forecasting Quarterly Brazilian GDP Growth Rate With Linear and NonLinear Diffusion Index Models. (2005). Ferreira, Roberto ; Bierens, Herman ; Castelar, Ivan.
    In: Economia.
    RePEc:anp:econom:v:6:y:2005:i:3:p:261-292.

    Full description at Econpapers || Download paper

  34. Nonparametric inference for unbalance time series data. (2004). LINTON, OLIVER.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:06/04.

    Full description at Econpapers || Download paper

  35. A sorted leading indicators dynamic (SLID) factor model for short-run euro-area GDP forecasting. (2004). Grenouilleau, Daniel .
    In: European Economy - Economic Papers 2008 - 2015.
    RePEc:euf:ecopap:0219.

    Full description at Econpapers || Download paper

  36. Keeping up with the Joneses: An international asset pricing model. (2003). Zapatero, Fernando ; Priestly, Richard ; Gomez, Juan-Pedro .
    In: Economics Working Papers.
    RePEc:upf:upfgen:694.

    Full description at Econpapers || Download paper

  37. On the Aggregation of Market and Credit Risks. (2003). Alexandra, Carol ; Pezier, Jacques .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2003-13.

    Full description at Econpapers || Download paper

  38. Idiosyncratic Risk and the Creative Destruction in Japan. (2003). Mei, Jianping ; Hamao, Yasushi ; Xu, Yexiao .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9642.

    Full description at Econpapers || Download paper

  39. Interpolation and backdating with a large information set. (2003). Marcellino, Massimiliano ; Henry, Jerome ; Angelini, Elena.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2003252.

    Full description at Econpapers || Download paper

  40. Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps. (2002). Jagannathan, Ravi ; Ma, Tongshu .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8922.

    Full description at Econpapers || Download paper

  41. Factor Models in Large Cross-Sections of Time Series. (2002). Reichlin, Lucrezia.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3285.

    Full description at Econpapers || Download paper

  42. Forecasting Some Low-Predictability Time Series Using Diffusion Indices. (2001). Galbraith, John ; Campbell, Bryan ; Brisson, Marc .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-46.

    Full description at Econpapers || Download paper

  43. Determining the Number of Factors in Approximate Factor Models. (2000). Ng, Serena ; Bai, Jushan.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:440.

    Full description at Econpapers || Download paper

  44. On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model. (1999). Karceski, Jason ; Louis K. C. Chan, ; Lakonishok, Josef .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7039.

    Full description at Econpapers || Download paper

  45. Diffusion Indexes. (1998). Watson, Mark ; Stock, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6702.

    Full description at Econpapers || Download paper

  46. The arbitrage pricing theory, macroeconomic and financial factors, and expectations generating processes. (1996). priestley, richard.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:20:y:1996:i:5:p:869-890.

    Full description at Econpapers || Download paper

  47. A measure of stock market integration for developed and emerging markets. (1995). Korajczyk, Robert.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:1482.

    Full description at Econpapers || Download paper

  48. Measuring the pricing error of the arbitrage pricing theory. (1995). Zhou, Guofu ; Geweke, John.
    In: Staff Report.
    RePEc:fip:fedmsr:189.

    Full description at Econpapers || Download paper

  49. Data frequency and the number of factors in stock returns. (1995). Jo, Hoje ; Huang, Roger D..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:19:y:1995:i:6:p:987-1003.

    Full description at Econpapers || Download paper

  50. Principal components at work: The empirical analysis of monetary policy with large datasets. (). Marcellino, Massimiliano ; Favero, Carlo ; Neglia, Francesca.
    In: Working Papers.
    RePEc:igi:igierp:223.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-12 22:54:13 || 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.