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2. Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses. (2018). Tsuji, Chikashi.
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3. New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries. (2018). Tsuji, Chikashi.
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4. Dynamic spillovers between commodity and currency markets. (2015). Antonakakis, Nikolaos ; Kizys, Renatas.
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1. On the applicability of dynamic factor models for forecasting real GDP growth in Armenia. (2021). Poghosyan, Karen.
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2. Housing Demand Shocks and Households Balance Sheets. (2021). Anderes, Marc.
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3. Nonlinear factor models for network and panel data. (2021). Fernandez-Val, Ivan ; Chen, Mingli ; Weidner, Martin.
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4. Sequential testing for structural stability in approximate factor models. (2020). Trapani, Lorenzo ; Barigozzi, Matteo.
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5. Efficient estimation of approximate factor models via penalized maximum likelihood. (2016). Liao, Yuan ; Bai, Jushan.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:191:y:2016:i:1:p:1-18.

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6. Forecasting Core Inflation: The Case of South Africa. (2015). Ruch, Franz ; GUPTA, RANGAN ; Balcilar, Mehmet ; Modise, Mampho P..
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7. Global and country-specific factors in real effective exchange rates. (2015). Nagayasu, Jun.
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   RePEc:pra:mprapa:64217.

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8. Forecasting Core Inflation: The Case of South Africa. (2015). Ruch, Franz ; GUPTA, RANGAN ; Balcilar, Mehmet ; Balcilarauthor-Name, Mehmet ; Modise, Mampho P.
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9. Geographical diversification with a World Volatility Index. (2015). Chevallier, Julien ; Aboura, Sofiane.
   In: Journal of Multinational Financial Management.
   RePEc:eee:mulfin:v:30:y:2015:i:c:p:62-82.

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10. 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.

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11. Cross-market volatility index with Factor-DCC. (2015). Chevallier, Julien ; Aboura, Sofiane.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:42:y:2015:i:c:p:132-140.

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12. Asymptotic analysis of the squared estimation error in misspecified factor models. (2015). Onatski, Alexei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:186:y:2015:i:2:p:388-406.

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13. Dynamic factor models with infinite-dimensional factor spaces: One-sided representations. (2015). Zaffaroni, Paolo ; Lippi, Marco ; Hallin, Marc ; Forni, Mario.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:185:y:2015:i:2:p:359-371.

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14. Empirical Analysis of Agricultural Commodity Prices, Crude Oil Prices and US Dollar Exchange Rates using Panel Data Econometric Methods. (2015). Rezitis, Anthony.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2015-03-28.

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15. Labour market adjustments in Europe and the US: How different?. (2015). Smets, Frank ; Beyer, Robert ; Beyer, Robert C. M., .
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16. Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment. (2015). Ruiz, Esther ; Poncela, Pilar.
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17. Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis. (2015). Zaffaroni, Paolo ; Lippi, Marco ; Hallin, Marc ; Forni, Mario.
    In: CEPR Discussion Papers.
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18. Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2015). Rodriguez Caballero, Carlos ; Haldrup, Niels ; Ergemen, Yunus Emre ; Rodriguez-Caballero, Carlos Vladimir.
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19. Supervision in Factor Models Using a Large Number of Predictors. (2015). Hillebrand, Eric ; Boldrini, Lorenzo .
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20. Lending standards, credit booms and monetary policy. (2014). Güntner, Jochen ; Afanasyeva, Elena ; Guntner, Jochen.
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21. Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities. (2014). Schorfheide, Frank ; Liao, Zhipeng ; Cheng, Xu.
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22. Lending Standards, Credit Booms and Monetary Policy. (2014). Güntner, Jochen ; Afanasyeva, Elena ; Guntner, Jochen.
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    RePEc:jku:econwp:2014_11.

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23. Cross-market index with Factor-DCC. (2014). Chevallier, Julien ; Aboura, Sofiane.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:40:y:2014:i:c:p:158-166.

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24. Selection of the number of factors in presence of structural instability: a Monte Carlo study. (2014). Stevanovic, Dalibor ; MAO TAKONGMO, Charles Olivier.
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25. Nowcasting global economic growth: A factor-augmented mixed-frequency approach.. (2014). Marsilli, Clément ; Ferrara, Laurent.
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26. Important Channels of Transmission Monetary Policy Shock in South Africa. (2013). Ndou, Eliphas ; Nombulelo Gumata, Alain Kabundi, .
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    RePEc:rza:wpaper:375.

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27. Forecasting the US Real Private Residential Fixed Investment Using Large Number of Predictors. (2013). Miller, Stephen ; GUPTA, RANGAN ; Balcilar, Mehmet ; Aye, Goodness C..
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28. Shrinkage estimation of high-dimensional factor models with structural instabilities. (2013). Schorfheide, Frank ; Liao, Zhipeng ; Cheng, Xu.
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    RePEc:fip:fedpwp:14-4.

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29. The common component of firm growth. (2013). Capasso, Marco ; Barigozzi, Matteo ; Alessi, Lucia.
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    RePEc:eee:streco:v:26:y:2013:i:c:p:73-82.

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30. Factor models in high-dimensional time series—A time-domain approach. (2013). Lippi, Marco ; Hallin, Marc.
    In: Stochastic Processes and their Applications.
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31. Dynamic factor Value-at-Risk for large heteroskedastic portfolios. (2013). Wu, Jason ; Aramonte, Sirio ; Giudice Rodriguez, Marius del, .
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    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4299-4309.

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32. Dynamic Factor Models: A review of the Literature .. (2013). Barhoumi, Karim ; Ferrara, Laurent ; Darné, Olivier ; Darne, O..
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33. Uncertainty and heterogeneity in factor models forecasting. (2013). Monteforte, Libero ; Luciani, Matteo.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_930_13.

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34. Do euro area countries respond asymmetrically to the common monetary policy?. (2013). Luciani, Matteo ; Conti, Antonio ; Barigozzi, Matteo.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_923_13.

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35. Identifying the Independent Sources of Consumption Variation. (2012). Moneta, Alessio ; Barigozzi, Matteo.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2012/16.

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36. An alternative business cycle dating procedure for South Africa. (2012). Ruch, Franz ; Bosch, Adl.
    In: Working Papers.
    RePEc:rza:wpaper:267.

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37. Forecasting House Prices for the Four Census Regions and the Aggregate US Economy: The Role of a Data-Rich Environment. (2012). GUPTA, RANGAN.
    In: Working Papers.
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38. Efficient Estimation of Approximate Factor Models. (2012). Liao, Yuan ; Bai, Jushan.
    In: MPRA Paper.
    RePEc:pra:mprapa:41558.

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39. Do Euro area countries respond asymmetrically to the common monetary policy?. (2012). Luciani, Matteo ; Barigozzi, Matteo ; Conti, Antonio .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:43344.

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40. Do disaggregated CPI data improve the accuracy of inflation forecasts?. (2012). Ibarra, Raul.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:4:p:1305-1313.

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41. Short-term forecasting of the Japanese economy using factor models. (2012). Lombardi, Marco ; Godbout, Claudia.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20121428.

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42. Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations. (2012). Zaffaroni, Paolo ; Lippi, Marco ; Hallin, Marc ; Forni, Mario.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/134458.

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43. Monetary Policy and the Housing Market: A Structural Factor Analysis. (2012). Luciani, Matteo.
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    RePEc:eca:wpaper:2013/129931.

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44. A model for vast panels of volatilities. (2012). Veredas, David ; Luciani, Matteo.
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45. Short-Term Forecasting of the Japanese Economy Using Factor Models. (2012). Lombardi, Marco ; Godbout, Claudia.
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    RePEc:bca:bocawp:12-7.

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46. One-Sided Representations of Generalized Dynamic Factor Models. (2011). Zaffaroni, Paolo ; Lippi, Marco ; Hallin, Marc ; Forni, Mario.
    In: DSS Empirical Economics and Econometrics Working Papers Series.
    RePEc:sas:wpaper:20115.

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47. Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets. (2011). Duncan, Andrew.
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48. Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors. (2011). Uwilingiye, Josine ; GUPTA, RANGAN ; Modise, Mampho P..
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49. Forecasting economic growth in the euro area during the Great Moderation and the Great Recession. (2011). Maier, Philipp ; Lombardi, Marco.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20111379.

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50. One-Sided Representations of Generalized Dynamic Factor Models. (2011). Zaffaroni, Paolo ; Lippi, Marco ; Hallin, Marc ; Forni, Mario.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/94959.

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