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Columbia Business School - Economics Department
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Risk-premia, excess returns, stock market volatility
Panel data, common factors, common trends, principal components
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.
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forecasting, monitoring, comovements, large dimensional panel, diffusion index
persistence, half-lives, rigidities, real exchange rates
E0, E4, G10, G12
DSGE, estimation, persistence
diffusion index, forecasting, big data, factors.
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: obes.
File name: ectj081.
Forecasting, Trends, Unit root, GLS estimation
measurement error, minimum distance, simulation estimation, dynamic panel
GMM, simulation-based estimation, non-invertibility, identification, non-Gaussian errors, generalized lambda distribution
File name: j-423X.
FAVAR, Hierarchical factor models, Mixed sampling frequency, Missing values
information pooling, earnings forecasts, brokerage mergers
File name: CAJE.
family, income, tastes, habits, learning
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