Search Results - subject:"Dynamic factor Model"

Weekly economic activity : measurement and informational content

Wegmüller, Philipp; Glocker, Christian; Guggia, Valentino - In: International journal of forecasting 39 (2023) 1, pp. 228-243

Persistent link: https://www.econbiz.de/10014462777

Daily news sentiment and monthly surveys : a mixed-frequency dynamic factor model for nowcasting consumer confidence

Algaba, Andres; Borms, Samuel; Boudt, Kris; Verbeken, Brecht - In: International journal of forecasting 39 (2023) 1, pp. 266-278

Persistent link: https://www.econbiz.de/10014462779

Nowcasting German GDP : foreign factors, financial markets, and model averaging

Andreini, Paolo; Hasenzagl, Thomas; Reichlin, Lucrezia; … - In: International journal of forecasting 39 (2023) 1, pp. 298-313

Persistent link: https://www.econbiz.de/10014462781

Nowcasting GDP with a pool of factor models and a fast estimation algorithm

Eraslan, Sercan; Schröder, Maximilian - In: International journal of forecasting 39 (2023) 3, pp. 1460-1476

Persistent link: https://www.econbiz.de/10014465295

The more, the better? : forecasting gains from high-frequency housing prices in a Markov-switching dynamic factor model

Huang, MeiChi - In: Macroeconomic dynamics 27 (2023) 1, pp. 93-110

Persistent link: https://www.econbiz.de/10014247351

Does commodity price uncertainty matter for the cost of credit? : evidence from developing and advanced economies

Bermpei, Theodora; Karadimitropoulou, Aikaterini; … - In: Journal of commodity markets 29 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014277411

High-dimensional conditionally Gaussian state space models with missing data

Chan, Joshua; Poon, Aubrey; Zhu, Dan - In: Journal of econometrics 236 (2023) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10014332310

Foreign portfolio investment and the US macroeconomic conditions

Motie, Golnaz Baradaran; Zeng, Zheng - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014485286

The credit composition of global liquidity

Herwartz, Helmut; Ochsner, Christian; Rohloff, Hannes - 2020

factor model in the spirit of Eickmeier,Gambacorta, and Hofmann (2014). Going beyond previous work, we decompose aggregate …We conceptualize global liquidity as global monetary policy and credit components by means of a large-scale dynamic …

Persistent link: https://www.econbiz.de/10012319104

Macroeconometric forecasting using a cluster of dynamic factor models

Glocker, Christian; Kaniovski, Serguei - 2020

We propose a modelling approach involving a series of small-scale factor models. They are connected to each other within a cluster, whose linkages are derived from Granger-causality tests. GDP forecasts are established across the production, income and expenditure accounts within a disaggregated...

Persistent link: https://www.econbiz.de/10012384096

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