Search Results - subject:"factor Models"

A Two-step estimator for large approximate dynamic factor models based on Kalman filtering

Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - Théorie Économique, Modélisation, Application … - 2006

This paper shows consistency of a two step estimator of the parameters of a dynamic approximate factor model when the panel of time series is large (n large). In the first step, the parameters are first estimated from an OLS on principal components. In the second step, the factors are estimated...

Persistent link: https://www.econbiz.de/10005523756

Forecasting economic aggregates by disaggregates

Hendry, David F.; Hubrich, Kirstin - European Central Bank - 2006

We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to include disaggregate information or disaggregate variables in the aggregate model as opposed to first forecasting the disaggregate variables separately and then aggregating those...

Persistent link: https://www.econbiz.de/10005530754

Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models

Milas, Costas; Panagiotidis, Theodore; Lekkos, Ilias - Centre for Economic Research, School of Economics and … - 2006

This paper explores the ability of factor models to predict the dynamics of US and UK interest rate swap spreads within …

Persistent link: https://www.econbiz.de/10005416707

Time series forecasting by principal covariate regression.

Heij, C.; Groenen, P.J.F.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2006

regression, economic forecasting, dynamic factor models, principal components, distributed lags, iterative majorization … regression model. This approach is based on dynamic factor models and is followed, for instance, by Stock and Watson (1999, 2002a … factor models. Model selection is based on the Bayes information criterion, as is common in PCR because of the work of Stock …

Persistent link: https://www.econbiz.de/10005450877

The Empirical Risk-Return Relation: a factor analysis approach

Ludvigson, Sydney; Ng, Serena - Society for Economic Dynamics - SED - 2006

Financial economists have long been interested in the empirical relation between the conditional mean and conditional volatility of excess stock market returns, often referred to as the risk-return relation. Unfortunately, the body of empirical evidence on the risk-return relation is mixed and...

Persistent link: https://www.econbiz.de/10004977922

Time series forecasting by principal covariate regression.

Groenen, Patrick; van Dijk, Dick; Heij, Heij, C. - Faculteit der Economische Wetenschappen, Erasmus … - 2006

This paper is concerned with time series forecasting in the presence of a large number of predictors. The results are of interest, for instance, in macroeconomic and financial forecasting where often many potential predictor variables are available. Most of the current forecast methods with many...

Persistent link: https://www.econbiz.de/10010837704

Hedging tranches index products : illustration of model dependency

Guegan, Dominique; Houdain, Julien - HAL - 2006

In this paper, index tranches'properties and several hedging strategies are discussed. Model risk and correlation risk are analysed through the study of the efficiency of several factor based copula models, like the Gaussian, the double-t and the double NIG using implied correlation and a...

Persistent link: https://www.econbiz.de/10010750784

Panel Data Models with Multiple Time-Varying Individual Effects

Ahn, Seung C.; Lee, Young H.; Schmidt, Peter - Department of Economics, University of Crete - 2006

This paper considers a panel data model with time-varying individual effects. The data are assumed to contain a large number of cross-sectional units repeatedly observed over a fixed number of time periods. The model has a feature of the fixed-effects model in that the effects are assumed to be...

Persistent link: https://www.econbiz.de/10004994304

Assessing Aggregate Comovements in France, Germany and Italy. Using a Non Stationary Factor Model of the Euro Area.

De Bandt. O.; Bruneau, C.; Flageollet, B. - Banque de France - 2006

The objective of the paper is to investigate to what extent business cycles co-move in Germany, France and Italy. We use a large-scale database of non-stationary series for the euro area in order to assess the effect of common versus idiosyncratic shocks, as well as transitory versus permanent...

Persistent link: https://www.econbiz.de/10004998840

To Combine Forecasts or to Combine Information?

Huang, Huiyu; Lee, Tae-Hwy - Department of Economics, University of California-Riverside - 2006

When the objective is to forecast a variable of interest but with many explanatory variables available, one could possibly improve the forecast by carefully integrating them. There are generally two directions one could proceed: combination of forecasts (CF) or combination of information (CI)....

Persistent link: https://www.econbiz.de/10005006783