Search Results - subject:"Dynamic factor Model"

Prévision, nowcasting et trimestrialisation du PIB au Tchad : une approche DFM bayésien

Fossouo, Armand - 2026

Persistent link: https://www.econbiz.de/10015625814

A rotated dynamic factor model for the yield curve: Squeezing out information when it matters

Casoli, Chiara; Lucchetti, Riccardo - 2026

The yield curve is widely regarded as a powerful descriptor of the economy and market expectations. A common approach to its statistical representation relies on a small number of factors summarizing the curve, which can then be used to forecast real economic activity. We argue that optimal...

Persistent link: https://www.econbiz.de/10015619108

Sentiment and uncertainty indices from economic news in Colombia

Mora-Quiñones, Rocío Clara A.; Orozco, Antonio; … - 2026

Persistent link: https://www.econbiz.de/10015562532

Risk in a data-rich model

Caldara, Dario; Mumtaz, Haroon; Zhong, Molin - 2026

factor model with stochastic volatility. The model unifies growth-at-risk, inflation-at-risk, and sectoral heterogeneity …We characterize asymmetric tail risk across over one hundred U.S. macroeconomic and financial variables using a dynamic …

Persistent link: https://www.econbiz.de/10015637333