Title:Factor Augmented Error Correction Models
Author(s):BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2009Type of Publication:Contribution to bookAbstract:This chapter brings together several important strands of the econometrics literature: error-correction, cointegration, and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the ...
Title:Financial Architecture
Author(s):CORSETTI, GiancarloDate:2009Type of Publication:Contribution to book
Title:The Financial Implications of a Banking Union
Author(s):ALLEN, Franklin; CARLETTI, Elena; GIMBER, AndrewDate:2012Type of Publication:Contribution to bookAbstract:With calls for a banking union to resolve the issue of banking interdependence within the Eurozone, this paper explores the reasons behind such a policy, how it should be implemented and the possible ramifications.
Title:Forecasting Volatility Using High-Frequency Data
Author(s):HANSEN, Peter Reinhard; LUNDE, AsgerDate:2011Type of Publication:Contribution to bookAbstract:This article focuses on some aspects of high-frequency data and their use in volatility forecasting. High-frequency data can be used to construct volatility forecasts. The article reviews two leading approaches to this. ...
Title:Global Imbalances
Author(s):CORSETTI, GiancarloDate:2009Type of Publication:Contribution to book