Search Results - subject:"dynamic factor model"

Forecasting key macroeconomic variables from a large number of predictors: A state space approach

Raknerud, Arvid; Skjerpen, Terje; Swensen, Anders Rygh - Statistisk Sentralbyrå, Government of Norway - 2007

We use state space methods to estimate a large dynamic factor model for the Norwegian economy involving 93 variables … properties of the dynamic factor model with those of univariate benchmark models. We find that there is an overall gain in using … the dynamic factor model, but that the gain is notable only for a few of the key variables. …

Persistent link: https://www.econbiz.de/10004980602

Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach

Diebold, Francis X.; Li, Canlin; Yue, Vivian Z. - Center for Financial Studies - 2007

The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in...

Persistent link: https://www.econbiz.de/10010958703

Identifying Regional and Sectoral Dynamics of the Dutch Staffing Labour Cycle

Reijer, Ard den - de Nederlandsche Bank - 2007

employment market, Randstad. We apply the dynamic factor model to extract common information out of a large data set and to … dynamic factor model turns out to outperform univariate benchmark forecasting models by exploiting the substantial temporal …

Persistent link: https://www.econbiz.de/10005106663

Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance

Herwartz, Helmut; Golosnoy, Vasyl - Institut für Volkswirtschaftslehre, … - 2007

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

Persistent link: https://www.econbiz.de/10005082855

A Real Activity Index for Mainland China

Liu, Li-gang; Zhang, Wenlang; Shek, Jimmy - Hong Kong Monetary Authority - 2007

This paper develops a composite real activity index (RAI) using eight monthly activity indicators for the Mainland economy based on the methodology of the Conference Board. The RAI appears to be able to track the Mainland GDP growth quite well. The results from a logit regression indicate that...

Persistent link: https://www.econbiz.de/10005736313

Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling

Cipollini, Andrea; Missaglia, Giuseppe - Volkswirtschaftliche Fakultät, … - 2007

Factor model, DF, to a large dataset of default rates proxies and macro-variables for Italy. Multi step ahead density and …In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic …

Persistent link: https://www.econbiz.de/10005616939

Identifying regional and sectoral dynamics of the Dutch staffing labour cycle

Reijer, Ard H. J. den - 2007

Persistent link: https://www.econbiz.de/10003596367

Information, data dimension and factor structure

Jacobs, Jan; Otter, Pieter W.; Reijer, Ard H. J. den - 2007

Persistent link: https://www.econbiz.de/10003596368

A generalised dynamic factor model for the Belgian economy - Useful business cycle indicators and GDP growth forecasts

Van Nieuwenhuyze, Christophe - 2006

statistical framework used is the One-sided Generalised Dynamic Factor Model developed by Forni, Hallin, Lippi and Reichlin (2005 …

Persistent link: https://www.econbiz.de/10011506602

Business cycle synchronisation in East Asia

Moneta, Fabio; Rüffer, Rasmus - 2006

Against the background of the rapid inter- and intraregional integration of East Asia, we examine the extent and nature of synchronisation of business cycles in the region. We estimate various specifications of a dynamic common factor model for output growth of ten East Asian countries. A...

Persistent link: https://www.econbiz.de/10011604717