a large number of predictors. So far, the dynamic factor model and its variants have been the most successful models for … interpretability of the models. Third, once forecasts from a LASSO-based approach are combined with those from a dynamic factor model … by forecast combination techniques, the combined forecasts are significantly better than either dynamic factor model …

forecasting purposes. Given a dynamic factor model as the data generation process, we provide Monte Carlo evidence of the finite …

dynamic factor model (GDFM) supplemented by a dynamic t-copula. The framework models banks’ default dependence explicitly and …

We use a broad set of Chinese economic indicators and a dynamic factor model framework to estimate Chinese economic …

and the generalized dynamic factor model (GDFM). The framework models investment funds' distress dependence explicitly and …

method for measuring market integration by combining a dynamic factor model with wavelet analysis. A gradual yardstick is …

generalized dynamic-factor model (GDFM) developed by Forni et al. the impact of various macroeconomic variables on inflation is …

In this paper we use a Dynamic Factor model to retrieve vulnerability indicators able to predict financial turmoil. A … events a®ecting a number of East Asian countries during the 1997-1998 period. The Dynamic factor model improves upon a …