Discussion paper DP18547 Time Varying Three Pass Regression Filter Yiannis Dendramis George Kapetanios Massimiliano Marcellino 23 Oct 2023 Monetary Economics and Fluctuations C13
Discussion paper DP15914 International Co-movements of Inflation, 1851-1913 Stefan Gerlach Rebecca Stuart 14 Mar 2021 Economic History Monetary Economics and Fluctuations E31 F40 N10
Discussion paper DP15653 Currency Anomalies Söhnke Bartram Leslie Djuranovik Anthony Garratt 8 Jan 2021 Financial Economics International Macroeconomics and Finance F31 G12 G15
Discussion paper DP14232 Global Market Inefficiencies Söhnke Bartram Mark Grinblatt 22 Dec 2019 Financial Economics G11 G14 G15
Discussion paper DP11388 In-sample Inference and Forecasting in Misspecified Factor Models Barbara Rossi 12 Jul 2016 Monetary Economics and Fluctuations C22 C52 C53
Discussion paper DP7726 Factor-GMM Estimation with Large Sets of Possibly Weak Instruments Massimiliano Marcellino George Kapetanios 7 Mar 2010 International Macroeconomics C32 C51 E52
Discussion paper DP6043 A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering Lucrezia Reichlin Catherine Doz Domenico Giannone 14 Jan 2007 International Macroeconomics C32 C33 C51
Discussion paper DP5829 Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components? Lucrezia Reichlin Domenico Giannone Christine De Mol 8 Sep 2006 International Macroeconomics C11 C13 C33 C53
Discussion paper DP5620 A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions Massimiliano Marcellino George Kapetanios 4 Apr 2006 International Macroeconomics C32 C51 E52
Discussion paper DP5621 Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation Massimiliano Marcellino George Kapetanios 4 Apr 2006 International Macroeconomics C32 C51 E52
Discussion paper DP5604 Marketwide Private Information in Stocks: Forecasting Currency Returns Rui Albuquerque Luis Marques Eva de Francisco 29 Mar 2006 Financial Economics F31 G11 G14
Discussion paper DP3432 The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting Marco Lippi Lucrezia Reichlin Marc Hallin Mario Forni 20 Jun 2002 International Macroeconomics C13 C33 C43