Search Results - subject:"factor Models"

Estimation of the monthly unemployment rate for six domains through structural time series modelling with cointegrated trends

Krieg, Sabine; den Brakel, Jan A. van - In: Computational Statistics & Data Analysis 56 (2012) 10, pp. 2918-2933

more parsimonious common factor model that is based on three common trends. Although the use of common factor models is a …

Persistent link: https://www.econbiz.de/10010574496

Are emerging market indicators of vulnerability to financial crises decoupling from global factors?

Felices, Guillermo; Wieladek, Tomasz - In: Journal of Banking & Finance 36 (2012) 2, pp. 321-331

This paper assesses the extent to which common factors underlie indicators of vulnerability to financial crises in emerging market economies (EMEs) and whether this link is changing over time. We use a Bayesian dynamic common factor model to estimate their common component in a sample of up to...

Persistent link: https://www.econbiz.de/10010574856

Asymptotics of the principal components estimator of large factor models with weakly influential factors

Onatski, Alexei - In: Journal of Econometrics 168 (2012) 2, pp. 244-258

This paper introduces a drifting-parameter asymptotic framework to derive accurate approximations to the finite sample distribution of the principal components (PC) estimator in situations when the factors’ explanatory power does not strongly dominate the explanatory power of the...

Persistent link: https://www.econbiz.de/10010577511

An alternative three-factor model for international markets: Evidence from the European Monetary Union

Ammann, Manuel; Odoni, Sandro; Oesch, David - In: Journal of Banking & Finance 36 (2012) 7, pp. 1857-1864

) factor model in addition to traditional factor models in international empirical finance research. … properties of the European factors are comparable to those of the US factors. Second, we show that the alternative three-factor … model’s explanatory power is either equal or superior to the explanatory power of traditional models when applied to five …

Persistent link: https://www.econbiz.de/10010577955

Underperformance by female CEOs: A more powerful test

Kolev, Gueorgui I. - In: Economics Letters 117 (2012) 2, pp. 436-440

Female CEOs underperform their male counterparts in terms of shareholders’ returns by roughly 0.35% per month. This difference is significant, comparable to the in-sample value premium, somewhat smaller than the equity and momentum premia, and larger than the size premium.

Persistent link: https://www.econbiz.de/10010580499

Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields

Hautsch, Nikolaus; Ou, Yangguoyi - In: Journal of Banking & Finance 36 (2012) 11, pp. 2988-3007

We propose a Nelson–Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying...

Persistent link: https://www.econbiz.de/10010580933

Interest rate co-movements, global factors and the long end of the term spread

Byrne, Joseph P.; Fazio, Giorgio; Fiess, Norbert - In: Journal of Banking & Finance 36 (2012) 1, pp. 183-192

The decoupling of US short and long interest rates has been a distinctive feature of the 2000s. We employ recent advances in panel econometrics to document this disconnect for industrial countries and link it to a global latent factor in long term rates. We investigate whether international...

Persistent link: https://www.econbiz.de/10010582670

Nowcasting norwegian GDP: the role of asset prices in a small open economy

Aastveit, Knut; Trovik, Tørres - In: Empirical Economics 42 (2012) 1, pp. 95-119

Persistent link: https://www.econbiz.de/10010994463

Cycles inside cycles: Spanish regional aggregation

Gadea, Maria; Gómez-Loscos, Ana; Montañés, Antonio - In: SERIEs 3 (2012) 4, pp. 423-456

This paper sets out a comprehensive framework to identify regional business cycles within Spain and analyses their stylised features and the degree of synchronisation both within them and between them and the Spanish economy. We show that the regional cycles are quite heterogeneous although they...

Persistent link: https://www.econbiz.de/10010994611

Nowcasting the French index of industrial production: A comparison from bridge and factor models

Brunhes-Lesage, Véronique; Darné, Olivier - In: Economic Modelling 29 (2012) 6, pp. 2174-2182

French monthly IIP, based on regression models and dynamic factor models. The combination of these two approaches allows …

Persistent link: https://www.econbiz.de/10010588231