Search Results - subject:"dynamic factor models"

Advances in nowcasting economic activity : the role of heterogeneous dynamics and fat tails

Antolín-Díaz, Juan; Drechsel, Thomas; Petrella, Ivan - In: Journal of econometrics 238 (2024) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10015073934

Estimating shadow policy rates in a small open economy and the role of foreign factors

Fornero, Jorge; Kirchner, Markus; Molina, Carlos - In: Journal of international money and finance 140 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014451378

Empirical asset pricing with score-driven conditional betas

Giroux, Thomas; Royer, Julien; Zerbib, Olivier David - 2024

Persistent link: https://www.econbiz.de/10015338796

Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data

Blasques, Francisco; Hoogerkamp, Meindert Heres; … - 2021

We propose a dynamic factor model which we use to analyze the relationship between education participation and national unemployment, as well as to forecast the number of students across the many different types of education. By clustering the factor loadings associated with the dynamic...

Persistent link: https://www.econbiz.de/10012427178

Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices

Casoli, Chiara; Lucchetti, Riccardo - 2021

In this article, we propose a cointegration-based Permanent-Transitory decomposition for non-stationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …

Persistent link: https://www.econbiz.de/10012605977

Back to the present: learning about the euro area through a now-casting model

Cascaldi-Garcia, Danilo; Ferreira, Thiago R. T.; … - 2021

Persistent link: https://www.econbiz.de/10012589523

Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices

Casoli, Chiara; Lucchetti, Riccardo - 2021

In this article, we propose a cointegration-based Permanent-Transitory decomposition for nonstationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …

Persistent link: https://www.econbiz.de/10012596987

Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages

Figà-Talamanca, Gianna; Focardi, Sergio M.; Patacca, Marco - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 863-882

Persistent link: https://www.econbiz.de/10012795004

Comovements in military spending : evidence from a dynamic factor model with time-varying stochastic volatility

Isomitdinov, Hasan; Lee, Junsoo; Payne, James E. - In: Defence and peace economics 34 (2023) 1, pp. 13-35

Persistent link: https://www.econbiz.de/10013549837

Nowcasting inflation in India with daily crowd-sourced prices using dynamic factors and mixed frequency models

Yadav, Varun; Das, Abhiman - In: Applied economics letters 30 (2023) 2, pp. 167-177

Persistent link: https://www.econbiz.de/10013553042