Search Results - subject:"factor Models"

Information, data dimension and factor structure

Jacobs, Jan; Otter, Pieter; Reijer, Ard den - de Nederlandsche Bank - 2007

This paper employs concepts from information theory to choosing the dimension of a data set. We calculate relative measures of information in the data in terms of eigenvalues and derive criteria to determine the `optimal' size of the data set, in particular whether an extra variable adds...

Persistent link: https://www.econbiz.de/10005021835

Tracking Down the Business Cycle: A Dynamic Factor Model For Germany 1820-1913

Sarferaz, Samad; Uebele, Martin - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

century we show the advantage of dynamic factor models in making efficient use of rare historical time series. … century we show the advantage of dynamic factor models in making efficient use of rare historical time series. Keywords …: Business Cycle Chronology; Imperial Germany; Dynamic Factor Models; Industrialization JEL codes: E32, C11, C32, N13 ∗We are …

Persistent link: https://www.econbiz.de/10005677899

Time Series Modelling with Semiparametric Factor Dynamics

Borak, Szymon; Härdle, Wolfgang; Mammen, Enno; Park, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

Keywords: semiparametric models, factor models, implied volatility surface, vector autore- gressive process, asymptotic … this, other modelling strategies based on principal component analysis or factor models are commonly used, see Rebonato …

Persistent link: https://www.econbiz.de/10005677954

Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test

Ren, Yu; Shimotsu, Katsumi - Economics Department, Queen's University - 2007

Jagannathan and Wang (1996) derive the asymptotic distribution of the Hansen-Jagannathan distance (HJ-distance) proposed by Hansen and Jagannathan (1997), and develop a specification test of asset pricing models based on the HJ-distance. While the HJ-distance has several desirable properties,...

Persistent link: https://www.econbiz.de/10005688211

Infinite Dimensional VARs and Factor Models

Chudik, Alexander; Pesaran, M. Hashem - CESifo - 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/10005766069

A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP

Banbura, Marta; Rünstler, Gerhard - European Central Bank - 2007

We derive forecast weights and uncertainty measures for assessing the role of individual series in a dynamic factor model (DFM) to forecast euro area GDP from monthly indicators. The use of the Kalman filter allows us to deal with publication lags when calculating the above measures. We find...

Persistent link: https://www.econbiz.de/10005816244

GMM Estimation of the Number of Latent Factors

Perez, Marcos; Ahn, Seung Chan - Volkswirtschaftliche Fakultät, … - 2007

We propose a generalized method of moment (GMM) estimator of the number of latent factors in linear factor models. The …

Persistent link: https://www.econbiz.de/10005786921

Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks

Todorov, Viktor; Bollerslev, Tim - School of Economics and Management, University of Aarhus - 2007

We provide a new theoretical framework for disentangling and estimating sensitivity towards systematic diffusive and jump risks in the context of factor pricing models. Our estimates of the sensitivities towards systematic risks, or betas, are based on the notion of increasingly finer sampled...

Persistent link: https://www.econbiz.de/10005787568

Measuring the Economic Stock of Money

Kelly, Logan - Volkswirtschaftliche Fakultät, … - 2007

Aggregation theoretic measures of the capital stock of money have in the past been criticized for their dependence on future expectations. I attempt to answer some of those objections by using several forecasting methods to generate expectations needed for calculating the economic stock of...

Persistent link: https://www.econbiz.de/10005789240

Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach

Barnett, William A.; Chauvet, Marcelle; Tierney, … - Volkswirtschaftliche Fakultät, … - 2007

This paper compares the different dynamics of the simple sum monetary aggregates and the Divisia monetary aggregate indexes over time, over the business cycle, and across high and low inflation and interest rate phases. Although traditional comparisons of the series sometimes suggest that simple...

Persistent link: https://www.econbiz.de/10005836526