The paper investigates the long-run output effects of international financial integration, and in particular their dependence on a countrys institutions as proxied by the quality of governance and the level of domestic financial market development.
This paper considers the situation under which both the factors and the loadings of TVFM can be consistently estimated without rotations.
This paper considers the estimation of the integration orders of the latent factors in an approximate factor model.
The objective functions of two nonstationarity-extended Whittle estimators are found to be discontinuous. This letter provides a simple solution to the problem.
We consider six variants of (local) Whittle estimators of the fractional order of integration d.
This paper considers the estimation of the matrix-valued factor model under a fixed-T scenario.
This paper develops an econometric framework to estimate the common factors among IVol and studies its interplay with macroeconomic uncertainty.
This note considers two sets of identification restrictions that help exactly identify a matrix-valued factor model.
This paper introduces a high-dimensional factor model with time-varying factor loadings.