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2. A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector. (2015). Ugolini, Andrea ; Reboredo, Juan.
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3. Investment funds? vulnerabilities: A tail-risk dynamic CIMDO approach. (2015). Nadal De Simone, Francisco ; Jin, Xisong.
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4. Stress-testing macro stress testing: Does it live up to expectations?. (2014). Tsatsaronis, Kostas ; Drehmann, Mathias ; BORIO, Claudio.
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   RePEc:eee:finsta:v:12:y:2014:i:c:p:3-15.

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1. Factor models for high‐dimensional functional time series II: Estimation and forecasting. (2023). Hallin, Marc ; Nisol, Gilles ; Tavakoli, Shahin.
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   RePEc:bla:jtsera:v:44:y:2023:i:5-6:p:601-621.

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2. How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation. (2018). Jin, Xisong.
   In: BCL working papers.
   RePEc:bcl:bclwop:bclwp118.

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3. Forecasting Chinas GDP growth using dynamic factors and mixed-frequency data. (2017). Jiang, YU ; Guo, Yongji ; Zhang, Yihao.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:66:y:2017:i:c:p:132-138.

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4. Systemic Financial Sector and Sovereign Risks. (2017). Nadal De Simone, Francisco ; Jin, Xisong.
   In: BCL working papers.
   RePEc:bcl:bclwop:bclwp109.

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5. Tracking Changes in the Intensity of Financial Sectors Systemic Risk. (2016). Nadal De Simone, Francisco ; Jin, Xisong.
   In: BCL working papers.
   RePEc:bcl:bclwop:bclwp102.

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6. Investment funds? vulnerabilities: A tail-risk dynamic CIMDO approach. (2015). Nadal De Simone, Francisco ; Jin, Xisong.
   In: BCL working papers.
   RePEc:bcl:bclwop:bclwp095.

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7. Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach. (2014). Nadal De Simone, Francisco ; Jin, Xisong ; Nadal De Simone, Francisco de A., .
   In: Journal of Financial Stability.
   RePEc:eee:finsta:v:14:y:2014:i:c:p:81-101.

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8. A framework for tracking changes in the intensity of investment funds systemic risk. (2014). Nadal De Simone, Francisco ; Jin, Xisong.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:29:y:2014:i:c:p:343-368.

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9. Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach. (2013). Nadal De Simone, Francisco ; Jin, Xisong.
   In: BCL working papers.
   RePEc:bcl:bclwop:bclwp082.

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10. A conditionally heteroskedastic independent factor model with an application to financial stock returns. (2012). Peña, Daniel ; Gonzalez-Prieto, Ester ; Pea, Daniel ; Garcia-Ferrer, Antonio.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:28:y:2012:i:1:p:70-93.

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11. El canal de préstamos de la política monetaria en Colombia. Un enfoque FAVAR. (2012). Rodríguez H., Diego H. ; López, Enrique ; Galarza, Fernando Tenjo ; Lopez, Enrique ; Diego H. Rodriguez H., .
    In: Revista ESPE - Ensayos Sobre Política Económica.
    RePEc:col:000107:010876.

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12. Choques internacionales reales y financieros y su impacto sobre la economía colombiana. (2012). Rodríguez N., Norberto ; López, Enrique ; Gonzalez, Andres ; Echavarría, Juan ; Rodriguez, Norberto ; Echavarria, Juan Jose ; Lopez, Enrique.
    In: Revista ESPE - Ensayos Sobre Política Económica.
    RePEc:col:000107:010871.

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13. Choques internacionales reales y financieros y su impacto sobre la economía colombiana. (2012). Rodríguez N., Norberto ; López, Enrique ; Gonzalez, Andres ; Echavarría, Juan ; Rodiguez, Norberto ; Echavarria, Juan Jose ; Lopez, Enrique.
    In: Borradores de Economia.
    RePEc:bdr:borrec:728.

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14. An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal. (2012). Nadal De Simone, Francisco ; Jin, Xisong.
    In: BCL working papers.
    RePEc:bcl:bclwop:bclwp075.

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15. Principal Components and Factor Analysis. A Comparative Study.. (2011). Travaglini, Guido.
    In: MPRA Paper.
    RePEc:pra:mprapa:35486.

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16. Dynamic mortality factor model with conditional heteroskedasticity. (2009). Gao, Quansheng ; Hu, Chengjun.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:45:y:2009:i:3:p:410-423.

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17. Identification of Macroeconomic Factors in Large Panels. (2009). Houssa, Romain ; Dewachter, Hans ; Bork, Lasse.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-43.

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18. A robust criterion for determining the number of static factors in approximate factor models.. (2008). Capasso, Marco ; Barigozzi, Matteo ; Alessi, Lucia.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2008903.

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19. A multivariate generalized independent factor GARCH model with an application to financial stock returns. (2008). Peña, Daniel ; Gonzalez-Prieto, Ester ; Pea, Daniel ; Garcia-Ferrer, Antonio.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws087528.

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20. A Multivariate Perspective for Modeling and Forecasting Inflations Conditional Mean and Variance. (2007). Capasso, Marco.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2007/21.

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21. A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models. (2007). Capasso, Marco ; Barigozzi, Matteo ; Alessi, Lucia.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2007/19.

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22. Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series. (2006). Capasso, Marco ; Alessi, Lucia.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2006/25.

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