Catherine Doz

University of Cergy-Pontoise - Department of Economics

Directrice de l'UFR Economie Gestion

Site des Chênes 1

33 boulevard du Port

Cergy-Pontoise, Cédex F-95011

France

SCHOLARLY PAPERS

2

DOWNLOADS

251

CITATIONS

3

Scholarly Papers (2)

A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models

ECB Working Paper No. 674
Number of pages: 37 Posted: 12 Sep 2006
University of Cergy-Pontoise - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of New York and London Business School
Downloads 219 (137,328)
Citation 4

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Factor Model, large cross-sections, Quasi Maximum Likelihood

A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models

CEPR Discussion Paper No. 5724
Number of pages: 31 Posted: 17 Aug 2006
London Business School, University of Cergy-Pontoise - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 23 (514,147)
Citation 73
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Factor model, large cross-sections, Quasi Maximum Likelihood

2.

A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering

CEPR Discussion Paper No. 6043
Number of pages: 45 Posted: 28 Jun 2007
University of Cergy-Pontoise - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of New York and London Business School
Downloads 9 (581,033)
Citation 22
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Factor Models, Kalman filter, large cross-sections, principal components