Via di Tor Vergata
Rome, Lazio 00133
Italy
University of Rome Tor Vergata
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Earnings per Share, Analyst Forecast, Corporate Social Responsibility
Stock Returns Forecasting, Factor Model, Large Data Sets, Forecast Evaluation.
Mixed-Frequency Data, Dynamic Factor Models, State Space Models, Shrinkage
Mixed-Frequency Data, Dynamic Factor Models, Growth Accounting, Model Averaging, Ledoit-Wolf Shrinkage.
Mixed frequency data; dynamic factor models; growth accounting; model averaging; Ledoit-Wolf shrinkage
Variable selection; Multiple testing; p-value weighting
Kernel Principal Component Analysis, Large Dataset, Artificial Neural Networks, QuickNet, Forecasting
Toeplitz systems; Optimal linear prediction; Partial autocorrelation function
Granger causality, Hypothesis testing, Time series, Vector autoregressive Models
Nowcasting. Principal Components Analysis. Macroeconomic Indicators
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artificial neural networks, Bayesian regularization, factor model, forecasting, principal components analysis
