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

dynamic factor model (GDFM) supplemented by a dynamic t-copula. The framework models banks’ default dependence explicitly and … credit risk model with the consistent information multivariate density optimization (CIMDO) methodology and the generalized …

this question, this paper applies a Generalized Dynamic Factor Model to individual CPI item data to examine if it is …

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

We use the Generalized Dynamic Factor Model proposed by Forni et al. [2000] in order to study the dynamics of the rate … Studies, Pisa October 2006 Abstract We use the Generalized Dynamic Factor Model proposed by Forni et al. [2000] in order to … Generalized Dynamic Factor Model (GDFM) by Forni et al. [2000], which allows for a limited amount of cross-sectional correlation …

and the characteristics of the business cycle. The author uses the statistical framework known as the generalized dynamic … factor model (Forni, Lippi, Hallin, Reichlin, 2000) to build a lagging, coincident, and leading quarterly index for Colombian …

core inflation in this paper is analyzed by means of an indicator derived from the generalized dynamic factor model. This …

core inflation in this paper is analyzed by means of an indicator derived from the generalized dynamic factor model. This …