Search Results - subject:"factor Models"

Corporate sustainability in asset pricing models and mutual funds performance measurement

Walker, Thomas J.; Lopatta, Kerstin; Kaspereit, Thomas - In: Financial markets and portfolio management 28 (2014) 4, pp. 363-407

Persistent link: https://www.econbiz.de/10010467393

Real wages and monetary policy transmission in the euro area

McCallum, Andrew; Smets, Frank - 2007

We use the Factor-Augmented Vector Autoregression (FAVAR) approach of Bernanke, Boivin and Eliasz (2005) to estimate the effects of monetary policy shocks on wages and employment in the euro area. The use of a large data set comprising country, sectoral and euro area-wide data allows us to...

Persistent link: https://www.econbiz.de/10010260595

Tracking down the business cycle: A dynamic factor model for Germany 1820-1913

Sarferaz, Samad; Uebele, Martin - 2007

century we show the advantage of dynamic factor models in making efficient use of rare historical time series. …

Persistent link: https://www.econbiz.de/10010263692

Time series modelling with semiparametric factor dynamics

Borak, Szymon; Härdle, Wolfgang Karl; Mammen, Enno; … - 2007

High-dimensional regression problems which reveal dynamic behavior are typically analyzed by time propagation of a few number of factors. The inference on the whole system is then based on the low-dimensional time series analysis. Such highdimensional problems occur frequently in many different...

Persistent link: https://www.econbiz.de/10010274126

Infinite dimensional VARs and factor models

Chudik, Alexander; Pesaran, Mohammad Hashem - 2007

This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...

Persistent link: https://www.econbiz.de/10010276215

Infinite dimensional VARs and factor models

Chudik, Alexander; Pesaran, Mohammad Hashem - 2007

Persistent link: https://www.econbiz.de/10010276258

Mr. Wicksell and the global economy: What drives real interest rates?

Brzoza-Brzezina, Michal; Crespo Cuaresma, Jesus - 2007

We use a Bayesian dynamic latent factor model to extract world, regional and country factors of real interest rate series for 22 OECD economies. We find that the world factor plays a privileged role in explaining the variance of real rates for most countries in the sample, and accounts for the...

Persistent link: https://www.econbiz.de/10010293383

Spill-over effects of monetary policy: a progress report on interest rate convergence in Europe

Fladung, Michael - 2007

This study examines differences in the interest rate response to an ECB policy impulse in the euro area, the new EU-member states, and in the other non-eurozone EU countries in order to gauge the degree of interest rate alignment in Europe. To this end, PANIC, a Panel Analysis of...

Persistent link: https://www.econbiz.de/10010295864

Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP

Marcellino, Massimiliano; Schumacher, Christian - 2007

This paper compares different ways to estimate the current state of the economy using factor models that can handle … of the German economy, we compare the performance of different factor models in the presence of the ragged edge: static … compare the performance of the nowcast factor models with the performance of quarterly factor models based on time …

Persistent link: https://www.econbiz.de/10010295871

Measuring concentration risk for regulatory purposes

Gürtler, Marc; Hibbeln, Martin; Vöhringer, Clemens - 2007

under Pillar 2 of Basel II as well as for managing portfolios and allocating economic capital. Existing multi-factor models …

Persistent link: https://www.econbiz.de/10010307955