Aastveit, A.K. ; Bjørnland, H.C. ; Thorsrud, L.A. The world is not enough! small open economies and regional dependence. 2016 Scandinavian Journal of Economics. 118 168-195
Adrian, T. ; Boyarchenko, N. ; Giannone, D. Vulnerable growth. 2019 American Economic Review. 109 -
Alessi, L. ; Barigozzi, M. ; Capasso, M. Improved penalization for determining the number of factors in approximate factor models. 2010 Statistics & Probability Letters. 80 1806-1813
Ando, T. ; Tsay, R.S. Quantile regression models with factor-augmented predictors and information criterion. 2011 The Econometrics Journal. 14 1-24
Artis, M.J. ; Banerjee, A. ; Massimiliano, M. Factor forecasts of the uk. 2005 Journal of Forecasting. 24 279-298
Azzalini, A. ; Capitanio, A. Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t-distribution. 2003 Journal of the Royal Statistical Association, Series B (Statistical Methodology). 65 367-389
Bai, J. Inferential theory for factor models of large dimensions. 2003 Econometrica. 71 135-171
Bai, J. ; Ng, S. Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions. 2006 Econometrica. 74 1133-1150
Bai, J. ; Ng, S. Extreme estimation when the predictors are estimated from large panels. 2008 Annals of Economics and Finance. 9 202-222
Bai, J. ; Ng, S. Large dimensional factor analysis. 2008 Foundations and Trends in Econometrics. 3 89-163
Bai, J. ; Ng, S. Principal components estimation and identification of static factors. 2013 Journal of Econometrics. 176 18-29
Banerjee, A. ; Marcellino, M. ; Masten, I. Forecasting macroeconomic variables using diffusion indexes in short samples with structural change. 2008 En : Wohar, D.E. Rapach &Â M.E. Forecasting in the presence of structural breaks and model uncertainty. Emerald Group Publishing Limited:
- Bertsimas, D. ; Brown, D.B. ; Caramanis, C. Theory and applications of robust optimization. 2013 SIAM Review. 53 464-501
Paper not yet in RePEc: Add citation now
Bjornland, H.C. ; Ravazzolo, F. ; Thorsrud, L.A. Forecasting gdp with global components: this time is different. 2017 International Journal of Forecasting. 33 153-173
Breitung, J. ; Eickmeier, S. Testing for structural breaks in dynamic factor models. 2011 Journal of Econometrics. 163 71-84
Cabalu, H. A review of the asian crisis causes, consequences and policy responses. 1999 The Australian Economic Review. 32 304-313
Chassein, A. ; Goerigk, M. Minmax regret combinatorial optimization problems with ellipsoidal uncertainty sets. 2017 European Journal of Operational Research. 258 58-69
Forni, M. ; Hallin, M. ; Lippi, M. ; Reichlin, L. The generalized dynamic factor model: identification and estimation. 2000 Review of Economics and Statistics. 82 540-554
Giglio, S. ; Kelly, B. ; Pruitt, S. Systemic risk and the macroeconomy: an empirical evaluation. 2016 Journal of Financial Economic. 119 457-471
Gona̧lves, S. ; Perron, B. Bootstrapping factor-augmented regression models. 2014 Journal of Econometrics. 182 156-173
- González-Rivera, G. Value in stress: a coherent approach to stress testing. 2003 The Journal of Fixed Income. 13 7-18
Paper not yet in RePEc: Add citation now
Henzel, S.R. ; Rengel, M. Dimensions of macroeconomic uncertainty: a common factor analysis. 2017 Economic Inquiry. 55 843-877
Imbs, J. The first global recession in decades. 2010 IMF Economic Review. 58 327-354
Jurado, K. ; Ludvigson, S.C. ; Ng, S. Measuring uncertainty. 2015 American Economic Review. 105 1177-1216
Koenker, R. ; Bassett, G. Regression quantiles. 1978 Econometrica. 46 33-50
- Koenker, R. ; d’Orey, V. Algorithm as229: computing regression quantiles. 1987 Journal of the Royal Statistical Association, Series C (Applied Statistics). 36 383-393
Paper not yet in RePEc: Add citation now
- Koenker, R. ; Machado, J.A.F. Goodness of fit and related inference processes for regression quantile. 1999 Journal of the American Statistical Association. 94 1296-1310
Paper not yet in RePEc: Add citation now
Kose, M.A. ; Otrok, C. ; Prasad, E. Global business cycles: convergence or decoupling?. 2012 International Economic Review. 53 511-538
Kose, M.A. ; Otrok, C. ; Whiteman, C.H. International business cycles: world, region and country-specific factors. 2003 American Economic Review. 93 1216-1239
Kristensen, J.T. Factor-based forecasting in the presence of outliers: are factors better selected and estimated by the median than by the mean?. 2014 Studies in Nonlinear Dynamics & Econometrics. 18 309-338
- Kwiatkowski, D. ; Phillips, P.C.B. ; Schmidt, P. ; Shin, Y. Testing the null hypothesis of a unit root. 1992 Journal of Econometrics. 54 159-178
Paper not yet in RePEc: Add citation now
Lopez, H. ; Wodon, Q. The economic impact of armed conflict in rwanda. 2005 Journal of African Economies. 14 586-602
Maldonado, , & Ruiz, E. (2017). Accurate subsampling intervals of principal components factors. UC3M, Working papers, Statistics and Econometrics 16-14.
Marcellino, M. ; Stock, J.H. ; Watson, M.W. Macroeconomic forecasting in the euro area: country specific versus euro wide information. 2003 European Economic Review. 47 1-18
McKenzie, D.J. The consumer response to the mexican peso crisis in 1994. 2006 Economic Development and Cultural Change. 55 139-172
Moneta, F. ; Rüffer, R. Business cycle synchronization in east asia. 2009 Journal of Asian Economics. 20 1-12
Ohno, S. ; Ando, T. Stock return predictability: a factor-augmented predictive regression system with shrinkage method. 2018 Econometric Reviews. 37 29-60
Ozturk, E.O. ; Sheng, X.S. Measuring global and country-specific uncertainty. 2018 Journal of International Money and Finance. 88 276-295
Radelet, S. ; Sachs, J.D. ; Cooper, R.N. ; Bosworth, B.P. The east asian financial crisis: diagnosis, remedies, prospects. 1998 Brooking Papers on Economic Activity. 1998 1-90
Rossi, B. ; Sekhposyan, T. Macroeconomic uncertainty indices based on nowcast forecast errors. 2015 American Economic Review. 105 650-655
Stock, J.H. ; Watson, M.W. Forecasting inflation. 1999 Journal of Monetary Economics. 44 293-335
Stock, J.H. ; Watson, M.W. Forecasting using principal components from a large number of predictors. 2002 Journal of the American Statistical Association. 97 1167-1179
Stock, J.H. ; Watson, M.W. Macroeconomic forecasting using diffusion indexes. 2002 Journal of Business & Economic Statistics. 20 147-162
Vaillant, J. ; Grimm, M. ; Lay, J. ; Rouband, F. Informal sector dynamics in times of fragile growth: the case of madagascar. 2014 European Journal of Development Research. 26 437-455