2 papers
econ.EM2026
Mean Square Errors of factors extracted using principal components, linear projections, and Kalman filter
Matteo Barigozzi, Diego Fresoli, Esther Ruiz
Factor extraction from systems of variables with a large cross-sectional dimension, , is often based on either Principal Components (PC)-based procedures, or Kalman filter (KF)-…
econ.EM2025
Heterogeneous economic growth vulnerability across Euro Area countries under stressed scenarios
Claudio Lissona, Esther Ruiz
We analyse economic growth vulnerability of the four largest Euro Area (EA) countries under stressed macroeconomic and financial conditions. Vulnerability, measured as a lower quan…