This paper shows how large-dimensional dynamic factor models are suitable for structural analysis. We establish …

dynamic factor models, the DF-GARCH is able to provide better forecasts both of inflation and of its conditional variance. … traditional dynamic factor models, the DF-GARCH is able to provide better forecasts both of inflation and of its conditional … variance. Keywords: Inflation, Factor Models, GARCH. JEL-classification: C32, C51, C52. ∗Laboratory of Economics and Management …

We propose a refinement of the criterion by Bai and Ng [2002] for determining the number of static factors in factor … models with large datasets. It consists in multiplying the penalty function times a constant which tunes the penalizing power …x8x23 A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models Lucia Alessi∗ Matteo …

is summarized by a small number of data series. However, recent empirical research on factor models has shown that …

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 …

. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and the … macroeconomic factor models in terms of their ability to explain the average stock returns using the data from the Visegrad …