Level and Volatility Factors in Macroeconomic Data

By Y. Gorodnichenko, Serena Ng. 2017

26 citations recorded by the source corpus.

Subfields: Economics and Econometrics

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Serena Ng
2. Jushan Bai
3. Mark W. Watson
4. Liangjun Su
5. James H. Stock
6. A. Onatski
7. Marco Lippi
8. Jianqing Fan

Citations in the corpus

• Principal Components and Regularized Estimation of Factor Models (2017, background): “In Gorodnichenko and Ng (2017), this difference between r̂ and r is attributed to interactions of the level factors disguising as separate factors.”