Search Results - subject:"Dynamic factor Model"

Identifying Regional and Sectoral Dynamics of the Dutch Staffing Labour Cycle

Reijer, Ard den - de Nederlandsche Bank - 2007

employment market, Randstad. We apply the dynamic factor model to extract common information out of a large data set and to … dynamic factor model turns out to outperform univariate benchmark forecasting models by exploiting the substantial temporal …

Persistent link: https://www.econbiz.de/10005106663

Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance

Herwartz, Helmut; Golosnoy, Vasyl - Institut für Volkswirtschaftslehre, … - 2007

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

Persistent link: https://www.econbiz.de/10005082855

Forecasting key macroeconomic variables from a large number of predictors: A state space approach

Raknerud, Arvid; Skjerpen, Terje; Swensen, Anders Rygh - Statistisk Sentralbyrå, Government of Norway - 2007

We use state space methods to estimate a large dynamic factor model for the Norwegian economy involving 93 variables … properties of the dynamic factor model with those of univariate benchmark models. We find that there is an overall gain in using … the dynamic factor model, but that the gain is notable only for a few of the key variables. …

Persistent link: https://www.econbiz.de/10004980602

Identifying regional and sectoral dynamics of the Dutch staffing labour cycle

Reijer, Ard H. J. den - 2007

Persistent link: https://www.econbiz.de/10003596367

Information, data dimension and factor structure

Jacobs, Jan; Otter, Pieter W.; Reijer, Ard H. J. den - 2007

Persistent link: https://www.econbiz.de/10003596368

Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance

Herwartz, Helmut; Golosnoy, Vasyl - 2007

Persistent link: https://www.econbiz.de/10010296287

Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach

Diebold, Francis X.; Li, Canlin; Yue, Vivian Z. - 2007

The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in...

Persistent link: https://www.econbiz.de/10010303750

Forecasting key macroeconomic variables from a large number of predictors: A state space approach

Raknerud, Arvid; Skjerpen, Terje; Swensen, Anders Rygh - 2007

Persistent link: https://www.econbiz.de/10011968274

Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach

Diebold, Francis X.; Li, Canlin; Yue, Vivian Z. - Center for Financial Studies - 2007

Persistent link: https://www.econbiz.de/10010958703

Macroeconomic variables and default risk : an application of the FAVAR model

Guo, Liang; Bruneau, Catherine - In: Revue d'économie politique 124 (2014) 5, pp. 817-857

Persistent link: https://www.econbiz.de/10010492060