Search Results - subject:"Dynamic factor Models"

Back to the present: learning about the euro area through a now-casting model

Cascaldi-Garcia, Danilo; Ferreira, Thiago R. T.; … - 2021

Persistent link: https://www.econbiz.de/10012589523

Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data

Blasques, Francisco; Hoogerkamp, Meindert Heres; … - 2021

We propose a dynamic factor model which we use to analyze the relationship between education participation and national unemployment, as well as to forecast the number of students across the many different types of education. By clustering the factor loadings associated with the dynamic...

Persistent link: https://www.econbiz.de/10012427178

Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices

Casoli, Chiara; Lucchetti, Riccardo - 2021

In this article, we propose a cointegration-based Permanent-Transitory decomposition for non-stationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …

Persistent link: https://www.econbiz.de/10012605977

Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages

Figà-Talamanca, Gianna; Focardi, Sergio M.; Patacca, Marco - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 863-882

Persistent link: https://www.econbiz.de/10012795004

A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)

Lucchetti, Riccardo; Venetis, Ioannis A. - 2020

-Maximum Likelihood Approach For Large, Approximate Dynamic Factor Models, Review of Economics and Statistics, 2012) on alternative (time …

Persistent link: https://www.econbiz.de/10012221951

Dynamic factor models with clustered loadings : forecasting education flows using unemployment data

Blasques, Francisco; Hoogerkamp, Meindert Heres; … - 2020

Persistent link: https://www.econbiz.de/10012315409

Recessions as breadwinner for forecasters state-dependent evaluation of predictive ability: evidence from big macroeconomic US data

Siliverstovs, Boriss; Wochner, Daniel S. - 2020

Persistent link: https://www.econbiz.de/10012302444

A comment on the dynamic factor model with dynamic factors

Poncela, Pilar; Ruiz, Esther - 2020

quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics), 2020 … extraction procedures in the context of Dynamic Factor Models (DFMs). The new Monte Carlo results of Lucchetti and Veneti (2020 …

Persistent link: https://www.econbiz.de/10012208913

Nowcasting GDP and its components in a data-rich environment : the merits of the indirect approach

Giovannelli, Alessandro; Proietti, Tommaso; Citton, Ambra; … - 2020 - Draft version May 6, 2020

Persistent link: https://www.econbiz.de/10012224728

Nowcasting monthly GDP with big data : a model averaging approach

Proietti, Tommaso; Giovannelli, Alessandro - 2020

Persistent link: https://www.econbiz.de/10012224870