Search Results - subject:"Dynamic factor Model"

Nowcasting Slovak GDP by a small dynamic factor model

Tóth, Peter - In: Ekonomický časopis : časopis pre ekonomickú … 65 (2017) 2, pp. 107-124

Persistent link: https://www.econbiz.de/10012151670

Dissecting the financial cycle with dynamic factor models

Menden, Christian; Proano, Christian - 2017

synthetic financial cycle components that account for the majority of the variation in the data set using a dynamic factor model …

Persistent link: https://www.econbiz.de/10011663432

Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model : an application to the German business cycle

Carstensen, Kai; Heinrich, Markus; Reif, Magnus; … - 2017

We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators …

Persistent link: https://www.econbiz.de/10011646914

The joint dynamics of U.S. and euro-area inflation rates : expectations and timevarying uncertainty

Grishchenko, Olesya; Mouabbi, Sarah; Renne, Jean-Paul - 2017

Persistent link: https://www.econbiz.de/10011647288

Copula-based factor models for multivariate asset returns

Ivanov, Eugen; Min, Aleksey; Ramsauer, Franz - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24

Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...

Persistent link: https://www.econbiz.de/10011654435