Search Results - subject:"dynamic factor models" - EconBiz

Time-varying general dynamic factor models and the measurement of financial connectedness

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019

Persistent link: https://www.econbiz.de/10012183847

One-Sided Representations of Generalized Dynamic Factor Models

Hallin, Marc; Forni, Mario; Lippi, Marco; Zaffaroni, Paolo - European Centre for Advanced Research in Economics and … - 2011

Factor model methods recently have become extremely popular in the theory and practice of large panels of time series data. Those methods rely on various factor models which all are particular cases of the Generalized Dynamic Factor Model (GDFM) introduced in Forni, Hallin, Lippi and Reichlin...

Persistent link: https://www.econbiz.de/10009203554

Business cycle synchronization in the CIS region

Kishor, N. Kundan; Giorgadze, Salome - In: Economics of transition and institutional change 30 (2022) 1, pp. 135-158

Persistent link: https://www.econbiz.de/10012795314

Dynamic comovement among banks, systemic risk, and the macroeconomy

Kapinos, Pavel; Kishor, N. Kundan; Ma, Jun - In: Journal of banking & finance 138 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013461953

Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices

Casoli, Chiara; Lucchetti, Riccardo - In: The econometrics journal 25 (2022) 2, pp. 494-514

Persistent link: https://www.econbiz.de/10013253846

The main business cycle shock(s) : frequency-band estimation of the number of dynamic factors

Avarucci, Marco; Cavicchioli, Maddalena; Forni, Mario; … - 2022

Persistent link: https://www.econbiz.de/10013188777

A short-term forecasting model for the Spanish economy : GDP and its demand components

Arencibia Pareja, Ana; Gómez Loscos, Ana; Luis López, … - 2018

Spanish economy’s GDP and its demand components. Drawing on a broad set of indicators, several dynamic factor models are …

Persistent link: https://www.econbiz.de/10012529614

A short-term forecasting model for the Spanish economy : GDP and its demand components

Arencibia Pareja, Ana; Gómez-Loscos, Ana; Luis López, … - 2018

Persistent link: https://www.econbiz.de/10011799888

Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals

Barigozzi, Matteo; Hallin, Marc - 2018

Persistent link: https://www.econbiz.de/10012064840

Forecasting the yield curve with macroeconomic information : evidence from European markets

Maldonado, Isabel; Pinho, Carlos; Rodríguez de Prado, … - In: International journal of banking, accounting and … 12 (2021) 2, pp. 177-200

Persistent link: https://www.econbiz.de/10012505149

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