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Cleaning large correlation matrices: tools from random matrix theory. (2016). Bun, Joel ; Potters, Marc ; Bouchaud, Jean-Philippe.
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RePEc:arx:papers:1610.08104.

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Cocites

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  2. Meta-analytic cointegrating rank tests for dependent panels. (2015). Karaman Örsal, Deniz ; Deniz Dilan Karaman , ; Arsova, Antonia.
    In: Working Paper Series in Economics.
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  3. A Global Vector Autoregression (GVAR) model for regional labour markets and its forecasting performance with leading indicators in Germany. (2015). Schanne, Norbert.
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  4. Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment. (2015). Ruiz, Esther ; Poncela, Pilar.
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  5. Impact of international monetary policy in Uruguay: a FAVAR approach. (2015). Bucacos, Elizabeth .
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  6. On the Selection of Common Factors for Macroeconomic Forecasting. (2014). Proietti, Tommaso ; Giovannelli, Alessandro.
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  7. Commodity-Price Comovement and Global Economic Activity. (2014). Coibion, Olivier ; Bhattarai, Saroj ; Alquist, Ron.
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  8. Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?. (2014). Nguyen, Duc Khuong ; Hammoudeh, Shawkat ; GUPTA, RANGAN ; Modise, Mampho P..
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  9. Estimation of random coefficients logit demand models with interactive fixed effects. (2014). Weidner, Martin ; Shum, Matthew ; Moon, Hyungsik.
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  10. Understanding the Deviations of the Taylor Rule: A New Methodology with an Application to Australia. (2014). Vespignani, Joaquin ; Hudson, Kerry B..
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  11. Sufficient information in structural VARs. (2014). Gambetti, Luca ; Forni, Mario.
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  12. Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?. (2014). Nguyen, Duc Khuong ; Hammoudeh, Shawkat ; GUPTA, RANGAN ; Modise, Mampho P..
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  13. Understanding global liquidity. (2014). Hofmann, Boris ; Gambacorta, Leonardo ; Eickmeier, Sandra.
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  14. Detecting big structural breaks in large factor models. (2014). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang ; JuanJ. Dolado, .
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  15. Do the global stochastic trends drive the real house prices in OECD countries?. (2014). Karaman Örsal, Deniz ; Karaman orsal, Deniz Dilan, .
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  16. Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle. (2014). Kneip, Alois ; Bada, Oualid .
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  17. Specification Analysis of International Treasury Yield Curve Factors. (2014). Pegoraro, Fulvio ; SIEGEL, A. F. ; Pezzoli, Tiozzo L..
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  18. A latent dynamic factor approach to forecasting multivariate stock market volatility. (2013). Gribisch, Bastian .
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  19. The Global Partnership for Sustainable Development. (2013). Quibria, M.G. ; Huang, Yongfu.
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  20. Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?. (2013). Luciani, Matteo ; Barigozzi, Matteo ; Conti, Antoniomaria .
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  21. Tests for Parameter Instability in Dynamic Factor Models. (2013). Inoue, Atsushi ; Han, Xu.
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  22. Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons. (2013). Choi, In.
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  23. Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets. (2013). Swanson, Norman ; Kim, Kihwan.
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  24. Detecting Big Structural Breaks in Large Factor Models. (2013). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang.
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  25. Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence. (2013). Karaman Örsal, Deniz ; Arsova, Antonia ; Deniz Dilan Karaman Oersal, .
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  26. The Comovement in Commodity Prices; Sources and Implications. (2013). Coibion, Olivier ; Alquist, Ron.
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  27. Testing for Factor Loading Structural Change under Common Breaks. (2013). Yamamoto, Yohei ; Tanaka, Shinya .
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  28. Large panel data models with cross-sectional dependence: a survey. (2013). Pesaran, M ; Chudik, Alexander.
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  29. A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors. (2013). Atak, Alev ; Kapetanios, George.
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  30. Dimensions of macroeconomic uncertainty: A common factor analysis. (2013). Henzel, Steffen ; Rengel, Malte.
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  31. Large Panel Data Models with Cross-Sectional Dependence: A Survey. (2013). Pesaran, M ; Chudik, Alexander.
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  32. Financial conditions and economic activity: a statistical approach. (2013). Tsatsaronis, Kostas ; Erdem, Magdalena.
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  33. Do euro area countries respond asymmetrically to the common monetary policy?. (2013). Luciani, Matteo ; Conti, Antonio ; Barigozzi, Matteo.
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  34. Efficient Estimation of Approximate Factor Models. (2012). Liao, Yuan ; Bai, Jushan.
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  35. Identifying observed factors in approximate factor models: estimation and hypothesis testing. (2012). Chen, Liang.
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  36. A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel. (2012). Pellényi, Gábor ; Pellenyi, Gabor .
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  37. Estimation of random coefficients logit demand models with interactive fixed effects. (2012). Weidner, Martin ; Shum, Matthew ; Moon, Hyungsik.
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  38. Do Euro area countries respond asymmetrically to the common monetary policy?. (2012). Luciani, Matteo ; Barigozzi, Matteo ; Conti, Antonio .
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  39. How the Subprime Crisis went global: Evidence from bank credit default swap spreads. (2012). Sarno, Lucio ; Mody, Ashoka ; Eichengreen, Barry ; Nedeljkovic, Milan.
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  40. Asymptotics of the principal components estimator of large factor models with weakly influential factors. (2012). Onatski, Alexei.
    In: Journal of Econometrics.
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  41. A model for vast panels of volatilities. (2012). Veredas, David ; Luciani, Matteo.
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  42. Large covariance estimation by thresholding principal orthogonal complements. (2011). Liao, Yuan ; Fan, Jianqing ; Mincheva, Martina .
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  43. Sufficient information in structural VARs. (2011). Gambetti, Luca ; Forni, Mario.
    In: Center for Economic Research (RECent).
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  44. Testing for Sufficient Information in Structural VARs. (2011). Gambetti, Luca ; Forni, Mario.
    In: CEPR Discussion Papers.
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  45. Testing for Sufficient Information in Structural VARs. (2011). Gambetti, Luca ; Forni, Mario.
    In: Working Papers.
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  46. How Much Intraregional Exchange Rate Variability Could a Currency Union Remove? The Case of ASEAN+3. (2008). tan, tao ; Qin, Duo.
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  47. Measuring Regional Market Integration in Developing Asia: a Dynamic Factor Error Correction Model (DF-ECM) Approach. (2007). Qin, Duo ; Ducanes, Geoffrey ; Cagas, Marie Anne ; Quising, Pilipinas F. ; Magtibay-Ramos, Nedelyn .
    In: Working Papers on Regional Economic Integration.
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  48. Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from Five OECD Countries. (2006). Qin, Duo.
    In: Working Papers.
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  49. Measuring Regional Market Integration by Dynamic Factor Error Correction Model (DF-ECM) Approach - The Case of Developing Asia. (2006). Qin, Duo ; Ducanes, Geoffrey ; Quising, Pilipinas F. ; Magtibay-Ramos, Nedelyn ; Cagas, Marie Anne .
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  50. Forecasting Inflation and GDP growth: Comparison of Automatic Leading Indicator (ALI) Method with Macro Econometric Structural Models (MESMs). (2006). Qin, Duo ; Ducanes, Geoffrey ; Quising, Pilipinas ; Magtibay-Ramos, Nedelyn ; Cagas, Marie Anne .
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