Dynamic Factor Models.

This paper introduces nonlinear dynamic factor models for various applications related to risk analysis. Traditional factor models represent the dynamics of processes driven by movements of latent variables, called the factors. Our approach extends this setup by introducing factors defined as random dynamic paremeters ans stochastic autocorrelated simulators.

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Year of publication:	1999
Authors:	Gourieroux, C. ; Jasiak, J.
Subject:	TIME SERIES \| FINANCIAL MARKET \| MORAL HAZARD

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Type of publication:	Book / Working Paper
Notes:	52 pages
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models ; G10 - General Financial Markets. General ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005780732