Browsing Faculty of Arts and Sciences by Keyword "dynamic factor models"
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Essays in Financial Economics and Econometrics
(2013-02-22)In the first essay, I study the power of predictive regressions in a world of forecastable returns and find it to be quite poor. Using a simple model, I investigate the properties of short- and long-horizon regressions. ... -
Forecasting in dynamic factor models subject to structural instability
(Oxford University Press, 2009)This chapter assesses forecasts constructed using dynamic factor models for their reliability in the face of structural breaks. Dynamic factor models have had notable empirical forecasting successes, but there has been ...