Search Results - subject:"dynamic factor model"

Mumtaz, Haroon; Musso, Alberto - 2018

We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the …

Persistent link: https://www.econbiz.de/10011916851

Anesti, Nikoleta; Galvão, Ana Beatriz C.; … - 2018

Persistent link: https://www.econbiz.de/10011926188

Eller, Markus; Huber, Florian; Schuberth, Helene - 2018

We propose a dynamic factor model with time-varying parameters and stochastic volatility to analyze the relationship …

Persistent link: https://www.econbiz.de/10011929696

Gálvez-Soriano, Oscar de J. - 2018

This paper evaluates five Nowcasting models that forecast Mexico's quarterly GDP: a Dynamic Factor Model (MFD), two …

Persistent link: https://www.econbiz.de/10011868207

Bäurle, Gregor; Steiner, Elizabeth; Züllig, Gabriel - 2018

Persistent link: https://www.econbiz.de/10011948339

Uluceviz, Erhan; Yılmaz, Kamil - 2018

derive a real activity index (RAI) from a dynamic factor model of the real sector variables only. The behavior of RAI over …

Persistent link: https://www.econbiz.de/10011899766

Mumtazy, Haroon; Mussoz, Alberto - 2018

We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several …

Persistent link: https://www.econbiz.de/10011904508

Chatzivgeri, Eleni; Mumtazy, Haroon; Tavasciz, Daniela; … - 2018

We use a dynamic factor model to consider if real wage growth in the US, UK and Germany at different percentiles of the …

Persistent link: https://www.econbiz.de/10011895003

Kurz-Kim, Jeong-Ryeol - 2018

analysis, we use a modified dynamic factor model which takes three refinements for the standard dynamic factor model of Stock …

Persistent link: https://www.econbiz.de/10011846875

Huber, Florian; Piribauer, Philipp - 2018

We develop a multivariate dynamic factor model that exploits euro area country-specific information on output and …

Persistent link: https://www.econbiz.de/10011806537

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