Forecasting economic time series using targeted predictors
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Cites work
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Cited in
(72)- Optimal discriminant analysis in high-dimensional latent factor models
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- Does a lot help a lot? Forecasting stock returns with pooling strategies in a data-rich environment
- Real-time nowcasting of nominal GDP with structural breaks
- Did financial factors matter during the Great Recession?
- Portfolio selection in a data-rich environment
- Forecasting crude oil prices: do technical indicators need economic constraints?
- Are Latent Factor Regression and Sparse Regression Adequate?
- Quantile prediction with factor-augmented regression: structural instability and model uncertainty
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- Local Predictability in High Dimensions
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- Identification of Time-Varying Factor Models
- To combine forecasts or to combine information?
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- Forecasting by factors, by variables, by both or neither?
- On LASSO for high dimensional predictive regression
- Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
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- Inference in Additively Separable Models With a High-Dimensional Set of Conditioning Variables
- Forecasting using random subspace methods
- Matrix-Factor-Augmented Regression
- Diffusion Indexes With Sparse Loadings
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- Information, data dimension and factor structure
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- Penalized averaging of parametric and non-parametric quantile forecasts
- Diffusion index model specification and estimation using mixed frequency datasets
- Long-term forecasting of El Niño events via dynamic factor simulations
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