Search Results - subject:"dynamic factor models"

Härdle, Wolfgang Karl; Silyakova, Elena - In: Statistics & Risk Modeling 33 (2016) 1-2, pp. 1-20

Abstract Equity basket correlation can be estimated both using the physical measure from stock prices, and also using the risk neutral measure from option prices. The difference between the two estimates motivates a so-called “dispersion strategy”. We study the performance of this strategy...

Persistent link: https://www.econbiz.de/10014621231

Generalized dynamic factor models and volatilities : recovering the market volatility shocks

Barigozzi, Matteo; Hallin, Marc - In: The econometrics journal 19 (2016) 1, pp. 33-60

Persistent link: https://www.econbiz.de/10011487491

Unspanned macroeconomic factors in the yield curve

Coroneo, Laura; Giannone, Domenico; Modugno, Michele - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 472-485

Persistent link: https://www.econbiz.de/10011691663

Macroeconomic consequences of the real-financial nexus : imbalances and spillovers between China and the U.S.

Pang, Ke; Siklos, Pierre L. - In: Journal of international money and finance 65 (2016), pp. 195-212

Persistent link: https://www.econbiz.de/10011668419

Nowcasting de PIB : evaluando las condiciones cíclicas de la economía argentina

D'Amato, Laura; Garegnani, Lorena; Blanco, Emilio - In: Ensayos económicos 74 (2016), pp. 7-26

Persistent link: https://www.econbiz.de/10011760421

Getting the most out of macroeconomic information for predicting excess stock returns

Çakmaklı, Cem; Dijk, Dick van - In: International journal of forecasting 32 (2016) 3, pp. 650-668

Persistent link: https://www.econbiz.de/10011621754

A dynamic factor model of the yield curve components as a predictor of the economy

Chauvet, Marcelle; Senyuz, Zeynep - In: International journal of forecasting 32 (2016) 2, pp. 324-343

Persistent link: https://www.econbiz.de/10011596830

Common dynamic factors in driving commodity prices : implications of a generalized dynamic factor model

Kagraoka, Yusho - In: Economic modelling 52 (2016), pp. 609-617

Persistent link: https://www.econbiz.de/10011642937

Effects of stock indices of developed and emerging markets on economic activity in Colombia : a FAVAR approach

Mosquera, Stephanía - In: Lecturas de economía 85 (2016), pp. 155-178

Persistent link: https://www.econbiz.de/10011592588

ESSAYS IN ESTIMATION OF DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS

Kryshko, Maxym - 2010

Dynamic factor models (DFM) and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical ….Chapter 2 “Data-Rich DSGE and Dynamic Factor Models”: In addition to a data-rich DSGE model with a standard New Keynesian core …

Persistent link: https://www.econbiz.de/10009438699