30 Aldwych
London, WC2B 4BG
United Kingdom
King's College, London
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Bayesian methods, large-scale asset purchases, quantitative easing, vector autoregressions
Import prices, exchange rates, pass-through, thresholds
Big Data, Nowcasting, Early Estimates, Econometric Methods
one covariate at a time, multiple testing, model selection, high dimensionality, penalized regressions, boosting, Monte Carlo experiments
One covariate at at time, multiple testing, model selection, high dimensionality, penalised regressions, boosting, Monte Carlo experiments
Persistence, Nonparametric Regression, Nonlinear Models, Real Exchange Rates
Financial contagion, Dynamic factor model
Unit roots, globally stationary cointegrating processes, nonlinear exponential smooth transition autoregressive error correction models, Monte Carlo simulations, prices and dividends
Bayesian methods, large-scale asset purchases, quantitative easing, Funding for Lending Scheme, vector autoregressions, auto-regressive distributed lag
Text, forecasting, machine learning
Co-Jumps, Jumps, Informed Traders, Liquidity, Option Markets, Scheduled News Announcements
Financial contagion, dynamic factor model
Unit Root, Structural Break
cross section dependence, large panels, principal components, common correlated effects, return equations
macroeconomic forecasting, factor models, forecast combination, principal components, partial least squares, Bayesian ridge regression
ARMA Models
PPP, real exchange rates, half-lives, panel unit root tests
factor models, factor strength, measures of pervasiveness, cross-sectional dependence, market factor
Factor Models, Subspace Methods, State Space Models
cross correlations, cross-sectional dependence, cross-sectional averages, weak and strong factor models, capital asset pricing model
cross correlations, cross-sectional dependence, cross-sectional averages, weak and strong factor models, Capital Asset Pricing Model
Long Memory, Nonlinearity, Neural Networks, Real Exchange Rates
Macroeconomic Forecasting, Forecast Comparison, Empirical Similarity, Parameter Time Variation, Kernel Estimation
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empirical similarity, Forecast comparison, Kernel estimation, Macroeconomic forecasting, parameter time variation
Panel datasets, Poolability, Sequential testing
tests of rank, spectral density matrix
Tests of rank, spectral density matrix
Self-exciting Threshold Autoregressive Models, Unit Roots, Globally Stationary Processes, Threshold Cointegration, Wald Tests, Monte Carlo Simulations, Real Exchange Rates
Forecasting, forecast combining
PPP, yen, real exchange rates, nonlinear models, ESTAR models
Nonlinearity, Long Memory, ESTAR Models, SETAR Models
Forecasting, inflation, Bayesian model averaging, Akaike criteria, forecast combining
cross section dependence, large panels, unit roots, principal components
Factor models, Principal components, Subspace algorithms, Structural
Factor models, principal components, subspace algorithms, structural identification, structural VAR
Nonlinearity, ARCH, Neural Networks
Pervasive Units, Factor Models, Systemic Risk, Cross-Sectional Dependence
dominant units, factor models, systemic risk, cross-sectional dependence, networks
Long memory, nonlinearity
multiple time series, model specification, tests of rank
Core Inflation, Dynamic Factor Models, Forecasting
VARMA, weak VARMA, weak ARMA, Forecasting, Large datasets, Iterative ordinary least squares (IOLS) estimator, Asymptotic contraction mapping
Cointegration rank, Nonparametric Analysis
Factor models, Principal components, Subspace algorithms
factor models, principal components, subspace algorithms
Bayesian Shrinkage Regression, Dynamic Factor Model, Euro Area, Forecasting, Kalman Filter, Partial Least Squares
Bayesian shrinkage regression, dynamic factor model, euro area, forecasting, Kalman filter, partial least squares
Density Forecasting, Model Combination, Scoring Rules
Threshold models, endogeneity, bootstrap
Covariance Matrix, Shrinkage Methods, Portfolio Optimisation
Tests of Rank, Model Reduction, Hankel Operator, Monte Carlo
returns predictability, long horizons, instability
Stochastic volatility, structural breaks
Fixed-event forecasts, rational expectations, forecast efficiency
Tests of Rank, Spectral Density Matrix, Canonical Correlations
large VARs, time-varying parameters, non-parametric estimation, forecasting
Stationarity, Random Coefficient Models
monitoring, recent structural change, forecast combination, robust forecasts
Forecasting, financial conditions index, targeted data reduction, multivariate partial least squares, credit shocks
Forecasting, Financial conditions index, Targeted data reduction, Multivariate partial least squares, Credit shocks
Bayesian Shrinkage Regression, Cross-Sectional Dependence, Cross-Sectional Averages, Euro Area, Forecasting, Genetic Algorithms, Heuristic Optimisation, MC^3, PEEIs, Sequential Testing, Simulated Annealing, Partial Least Squares, Principal Components
Recent and ongoing structural change, forecast combination, robust forecasts
Bank efficiency, stochastic cost frontier, latent class, panel data
Pair-Wise Correlations, Cross-Sectional Dependence, Cross-Sectional Averages, Weak and Strong Factor Models. CAPM and Fama-French Factors.
expected returns, structural breaks, large shocks, state space model, regime-shifts, threshold models
Rank, Bootstrap, Monte Carlo, System Identification, Hankel Operator
Time variation, great ratios, cointegration
Heuristic optimisation, Information criteria, Unbalanced datasets, Model Reduction, Forecasting, PEEI
Data uncertainty, measurement error, revisions, real-time data, forecasting
DSGE, structural change, kernel estimation, time-varying VAR, monetary policy shocks
factor models, information criteria, macroeconomic forecasting
Common cycles and trends, Tests of rank, Cointegration
Factors, Large Datasets, Forecast Combinations
Factor Augmented Regression, Structural Instability, Out-of-Sample Forecasts, Estimation Window, Cross-Sectional Averages.
large dimensional regression, sparse matrix, thresholding, shrinkage, model selection
ARFIMA Models, Impulse Response, Long Memory
non-linear panel data model, cross-sectional dependence, common correlated effects estimator
Panel Data Models, Cross-sectional Error Dependence, Unobserved Heterogeneous Factors, Factor Correlated Loadings
instrumental variable estimation, many instruments, factor models
Big Data, Nowcasting, Sparse Regressions, Factor Models
Multi-dimensional Panel Data Models, Cross-sectional Error Dependence, Unobserved Heterogeneous Global and Local Factors, Multilateral Resistance, The Gravity Model of Bilateral Export Flows
Financial Conditions, Forecasting
Bayesian Shrinkage Regression, EU, Forecasting, Partial Least Squares, Summary Indicators
Fiscal multiplier, government spending, stabilisation policy, local projections
Business Cycles, Recession
Wage Phillips curves, state-level data, panel estimation, CCE
Unit root, structural break
Forecast breaks, statistical decision making, central banking
VARMA, Weak VARMA, Weak ARMA, Forecasting, Rich and Large Datasets, Iterative Ordinary Least Squares (IOLS) Estimator, Asymptotic Contraction Mapping
Bayesian VAR, Exchange Rates, Forecasting
Bayesian methods, Forecasting, Term Structure
Time varying estimation, random coefficient models
DSGE models, Factor models, GMM, Instrumental variables, Principal components, weak instruments
Inflation equations, Persistence, Price stickiness
Bayesian VARs, factor models, forecasting, reduced rank
Asymmetric information, co-jump, limit order book market, liquidity, option market, news announcement
Bayesian VARs, factor models, forecasting, large datasets, Multivariate Autoregressive Index models, Reduced Rank Regressions, structural analysis
factor model, identification-robust inference, IV regression, new Keynesian model, principle components, weak instruments
monitoring, structural change, panel, CUSUM, fluctuation test
Stochastic volatility, Factor models, Principal components
Dynamic factor model, Forecasting, Kalman filter, AR, VAR and BVAR models
