Lancaster, LA1 4YX
United Kingdom
Department of Economics, Lancaster University Management School
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Stock Returns Forecasting, Factor Model, Large Data Sets, Forecast Evaluation.
locally stationary dynamic factor models, volatility, financial connectedness
Dynamic factor models, volatility, financial crises, contagion, interdependence
Macroeconomic Cycles and Bond Return Predictability
Bond Return Predictability, Frequency-Specific Factors, Band-Spectrum Principal Components, Monetary Policy, Machine Learning
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