Search Results - subject:"dynamic factor model"

The relation between banks' funding costs, retail rates and loan volumes: An analysis of Norwegian bank micro data

Raknerud, Arvid; Vatne, Bjørn Helge - Norges Bank - 2012

We use a dynamic factor model and a detailed panel data set for six Norwegian bank groups to analyze i) how funding …

Persistent link: https://www.econbiz.de/10010835405

Common Movement of the Emerging Market Currencies

Chadwick, Meltem Gulenay; Fazilet, Fatih; Tekatli, Necati - Türkiye Cumhuriyet Merkez Bankası - 2012

economics literature. This common movement, which has been derived using a dynamic factor model, is introduced as a composite …

Persistent link: https://www.econbiz.de/10009421806

WP 14 Revisions in official data and forecasting

Frale, Cecilia; Raponi, Valentina - Dipartimento del Tesoro, Ministero dell'Economia e … - 2012

that embedding the revision process in a dynamic factor model helps to reduce the forecast error. …

Persistent link: https://www.econbiz.de/10010551099

Bayesian Semiparametric Dynamic Nelson-Siegel Model

Çakmakli, Cem - Rimini Centre for Economic Analysis (RCEA) - 2012

This paper proposes the Bayesian semiparametric dynamic Nelson-Siegel model, where the density of the yield curve factors and thereby the density of the yields are estimated along with other model parameters. This is accomplished by modeling the error distributions of the factors according to a...

Persistent link: https://www.econbiz.de/10010607396

Un indicador mensual adelantado del sector de construcción : IMACO

Acosta, Alicia; Barráez, Daniel; Paracare, Elsy - 2012

Persistent link: https://www.econbiz.de/10009688791

Money-based inflation risk indicator for Russia : a structural dynamic factor model approach

Deriugina, Elena; Ponomarenko, Alexey - 2012

Persistent link: https://www.econbiz.de/10009758233

Forecasting the yield curve of government bonds: a dynamic factor approach

Ben Omrane, Walid; He, Chao; He, Zhongzhi Lawrence; … - In: Managerial Finance 43 (2017) 7, pp. 774-793

. Design/methodology/approach The paper develops a unified dynamic factor model based on Diebold and Li (2006) and Nelson and … find that the dynamic factor model produces the best in-sample fit, and it dominates existing models in medium- and long …-horizon yield curve forecasting performance. Research limitations/implications The authors find that the dynamic factor model and …

Persistent link: https://www.econbiz.de/10014941899

Does realized volatility help bond yield density prediction?

Shin, Minchul; Zhong, Molin - In: International journal of forecasting 33 (2017) 2, pp. 373-389

Persistent link: https://www.econbiz.de/10011922068

Now-casting the Japanese economy

Bragoli, Daniela - In: International journal of forecasting 33 (2017) 2, pp. 390-402

Persistent link: https://www.econbiz.de/10011922069

Money-based underlying inflation measure for Russia : a structural dynamic factor model approach

Deriugina, Elena; Ponomarenko, Alexey - In: Empirical economics : a journal of the Institute for … 53 (2017) 2, pp. 441-457

Persistent link: https://www.econbiz.de/10011988388