This paper analyses the evolution of systematic risk of banking industries in eight advanced countries using weekly data from 1990 to 2012. The estimation of time-varying betas is done by means of a Bayesian state space model with stochastic volatility, whose results are contrasted with those of...

This paper places the data revision model of Jacobs and van Norden (2011) within a class of trend-cycle decompositions relating directly to the Beveridge-Nelson decomposition. In both these approaches identifying restrictions on the covariance matrix under simple and realistic conditions may...

Despite the productive efforts of economists, the disequilibrium nature of the economic system and imprecise predictions persist. One reason for this outcome is that traditional econometric models and estimation and inference methods cannot provide the necessary quantitative information for the...

Despite the productive efforts of economists, the disequilibrium nature of the economic system and imprecise predictions persist. One reason for this outcome is that traditional econometric models and estimation and inference methods cannot provide the necessary quantitative information for the...

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences...

This paper analyzes the evolution of the systematic risk of the banking industries in eight advanced countries using weekly data from 1990 to 2012. Time-varying betas are estimated by means of a Bayesian state-space model with stochastic volatility, whose results are contrasted with those of the...

We derive simple algebraic expressions for score tests of serial correlation in the levels and squares of common and idiosyncratic factors in static factor models with (semi) parametrically specified elliptical distributions even though one must generally compute the likelihood by simulation. We...

This paper analyses the evolution of systematic risk of banking industries in eight advanced countries using weekly data from 1990 to 2012. The estimation of time-varying betas is done by means of a Bayesian state space model with stochastic volatility, whose results are contrasted with those of...

We propose to estimate heteroskedastic dynamic factor models using the Kalman filter, where the state vector is augmented with the heteroskedastic disturbances. Although this model is not conditionally Gaussian, Monte Carlo results show that parameters can be accurately estimated.