1. The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa. (2015). Bonga-Bonga, Lumengo ; Umoetok, Ekerete.
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1. Likelihood-based Analysis for Dynamic Factor Models. (2014). Koopman, Siem Jan ; Jungbacker, Borus.
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3. Forecasting using a large number of predictors: Bayesian model averaging versus principal components regression. (2013). Ouysse, Rachida.
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4. Monetary policy, housing booms and financial (im)balances. (2010). Hofmann, Boris ; Eickmeier, Sandra.
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5. Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model. (2009). Eickmeier, Sandra.
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6. Optimal Asset Allocation with Factor Models for Large Portfolios. (2008). Zaffaroni, Paolo ; Pesaran, Mohammad.
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7. Large Panels with Common Factors and Spatial Correlations. (2007). Tosetti, Elisa ; Pesaran, Mohammad.
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8. Opening the black box: structural factor models with large cross-sections. (2007). Reichlin, Lucrezia ; Lippi, Marco ; Giannone, Domenico ; Forni, Mario.
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9. A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering. (2007). Reichlin, Lucrezia ; Giannone, Domenico ; Doz, Catherine.
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10. Large Panels with Common Factors and Spatial Correlations. (2007). Tosetti, Elisa ; Pesaran, Mohammad.
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11. Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation. (2007). Demers, Frederick ; Cheung, Calista.
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12. Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets. (2007). Diez de los Rios, Antonio.
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13. Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?. (2006). Reichlin, Lucrezia ; Giannone, Domenico ; de Mol, Christine.
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15. Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series. (2006). Capasso, Marco ; Alessi, Lucia.
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16. Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction. (2006). Capasso, Marco ; Alessi, Lucia.
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19. Visible and hidden risk factors for banks. (2006). Stiroh, Kevin ; Schuermann, Til.
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20. A stochastic discount factor approach to asset pricing using panel data. (2006). Issler, João ; Fernandes, Marcelo ; Araujo, Fabio.
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21. A Two-step estimator for large approximate dynamic factor models based on Kalman filtering. (2006). Reichlin, Lucrezia ; Giannone, Domenico ; Doz, Catherine.
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22. A quasi maximum likelihood approach for large approximate dynamic factor models. (2006). Reichlin, Lucrezia ; Giannone, Domenico ; Doz, Catherine.
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23. A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions. (2006). Marcellino, Massimiliano ; Kapetanios, George.
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24. A Spatio-Temporal Model of House Prices in the US. (2006). Yamagata, Takashi ; Pesaran, Mohammad ; Holly, Sean.
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25. Panels with Nonstationary Multifactor Error Structures. (2006). Yamagata, Takashi ; Pesaran, Mohammad ; Kapetanios, George.
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26. A Spatio-Temporal Model of House Prices in the US. (2006). Yamagata, Takashi ; Pesaran, Mohammad ; Holly, Sean.
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27. Panels with Nonstationary Multifactor Error Structures. (2006). Yamagata, Takashi ; Pesaran, Mohammad ; Kapetanios, George.
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28. Dynamic factor models. (2005). Eickmeier, Sandra ; Breitung, Jörg.
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29. Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns. (2005). Pesaran, Mohammad ; Kapetanios, George.
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30. International Portfolio Holdings and Swiss Franc Asset Returns. (2004). Weder di Mauro, Beatrice ; Kugler, Peter.
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31. Macroeconomic Forecasting with Independent Component Analysis. (2004). Yau, Ruey.
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32. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
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33. The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting. (2003). Reichlin, Lucrezia ; Lippi, Marco ; Hallin, Marc ; Forni, Mario.
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34. Contagion: an empirical test. (2003). Wongswan, Jon.
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35. Cross-section Regression with Common Shocks. (2003). Andrews, Donald.
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36. Factor Models in Large Cross-Sections of Time Series. (2002). Reichlin, Lucrezia.
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38. A Core Inflation Index for the Euro Area. (2001). veronese, giovanni ; Reichlin, Lucrezia ; Forni, Mario ; Cristadoro, Riccardo.
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39. Dynamic Factor Analysis with ARMA Factors. (2000). Heaton, Chris ; Solo, Victor.
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40. Reference Cycles: The NBER Methodology Revisited. (2000). Reichlin, Lucrezia ; Lippi, Marco ; Hallin, Marc ; Forni, Mario.
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41. Factor Analysis and Independent Component Analysis in Presence of High Idiosyncratic Risks. (2000). Vessereau, Thierry.
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42. Conditioning Variables and the Cross-Section of Stock Returns. (1999). Harvey, Campbell ; Ferson, Wayne.
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43. Diffusion Indexes. (1998). Watson, Mark ; Stock, James.
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