of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model …

(BBQ) algorithm, the multivariate dynamic-factor model and the multivariate dynamic-factor Markov-switching (DFMS) model …

Factor model, DF, to a large dataset of default rates proxies and macrovariables for Italy. Multi step ahead density and …In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic …

This paper consists of an empirical study comparing a dynamic factor model approach to estimate the current quarter …

stock and flow data observed at mixed frequencies. Specifically, we propose a dynamic factor model that permits exact …

statistical framework used is the One-Sided Generalized Dynamic Factor Model developed by Forni, Hallin, Lippi and Reichlin (2003 …

method and a recently developed dynamic factor model, and compares these methods for the euro area. The results suggest that … factor model, and compares these methods for the euro area. The results suggest that a reliable index can be constructed from … discusses two methods for constructing business cycle indexes, the traditional NBER method and a recently developed dynamic …

factor model. We find that monetary policy shocks have a small but significant impact on persistent and transitory parts of … questions, we measure cycle movements by calculating an index from a number of aggregate macroeconomic series via a dynamic …