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econ.EM2023
Band-Pass Filtering with High-Dimensional Time Series
Alessandro Giovannelli, Marco Lippi, Tommaso Proietti
The paper deals with the construction of a synthetic indicator of economic growth, obtained by projecting a quarterly measure of aggregate economic activity, namely gross domestic…
econ.EM2022
The Forecasting performance of the Factor model with Martingale Difference errors
Luca Mattia Rolla, Alessandro Giovannelli
This paper analyses the forecasting performance of a new class of factor models with martingale difference errors (FMMDE) recently introduced by Lee and Shao (2018). The FMMDE make…