Search Results - subject:"factor Models"

Forecasting with Factor Models Estimated on Large Datasets: A Review of the Recent Literature and Evidence for German GDP

Schumacher, Christian - In: Journal of Economics and Statistics (Jahrbuecher fuer … 231 (2011) 1, pp. 28-49

This paper provides a review of the recent literature concerned with large factor models as forecast devices.We focus … on factor models that account for mixed-frequency data and missing observations at the end of the sample. These are data …-data sampling (MIDAS) regressions and the Kalman smoother applied to fully-fledged factor models in state-space form. Empirical …

Persistent link: https://www.econbiz.de/10008854422

The Rank of a System of Engel Curves. How Many Common Factors?

Barigozzi, Matteo; Moneta, Alessio - Volkswirtschaft Abteilung, Fachbereich … - 2011

By representing a system of budget shares as an approximate factor model we determine its rank, i.e. the number of common functional forms, or factors, spanning the space of Engel curves. Once the common factors are estimated via approximate principal components, we identify them by imposing...

Persistent link: https://www.econbiz.de/10008804602

RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL

ESCOBAR, MARCOS; OLIVARES, PABLO - In: Asia-Pacific Journal of Operational Research (APJOR) 28 (2011) 01, pp. 65-80

In this paper, we study risk measures and portfolio problems based on a Stochastic Volatility Factor Model (SVFM). We analyze the sensitivity of Value at Risk (VaR) and Expected Shortfall (ES) to the changes in the parameters of the model. We compare the positions of a linear portfolio under...

Persistent link: https://www.econbiz.de/10008852559

A Dynamic Factor Model for World Trade Growth

Guichard, Stéphanie; Rusticelli, Elena - Economics Department, Organisation de Coopération et … - 2011

forecasting models using these indicators. In particular it develops dynamic factor models (DFM) which have the advantage of …

Persistent link: https://www.econbiz.de/10009131541

Economics of individualization in comparative effectiveness research and a basis for a patient-centered health care

Basu, Anirban - In: Journal of Health Economics 30 (2011) 3, pp. 549-559

The United States aspires to use information from comparative effectiveness research (CER) to reduce waste and contain costs without instituting a formal rationing mechanism or compromising patient or physician autonomy with regard to treatment choices. With such ambitious goals, traditional...

Persistent link: https://www.econbiz.de/10009143166

Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model.

Chevallier, Julien - Université Paris-Dauphine - 2011

This article assesses the transmission of international shocks to EUA spot, EUA futures, and CER futures carbon prices using a broad dataset that includes 115 macroeconomic, financial and commodities indicators with daily frequency from April 4, 2008 to January 25, 2010 totalling 463...

Persistent link: https://www.econbiz.de/10008725850

Confronting Prior Convictions: On Issues of Prior Sensitivity and Likelihood Robustness in Bayesian Analysis

Lopes, Hedibert F.; Tobias, Justin L. - In: Annual Review of Economics 3 (2011) 1, pp. 107-131

In this review we explore issues of the sensitivity of Bayes estimates to the prior and form of the likelihood. With respect to the prior, we argue that non-Bayesian analyses also incorporate prior information, illustrate that the Bayes posterior mean and the frequentist maximum likelihood...

Persistent link: https://www.econbiz.de/10010603967

Business Cycle Synchronization Since 1880

Artis, Michael J; Chouliarakis, George; Harischandra, PKG - C.E.P.R. Discussion Papers - 2011

This paper studies the international business cycle behaviour across 25 advanced and emerging market economies for which 125 years of annual GDP data are available. The picture that emerges is more fragmented than the one drawn by studies that focused on a narrower set of advanced market...

Persistent link: https://www.econbiz.de/10009003371

Back to fundamentals : the role of expected cash flows in equity valuation

Foerster, Stephen Robert; Sapp, Stephen G. - In: The North American journal of economics and finance : a … 22 (2011) 3, pp. 320-343

Persistent link: https://www.econbiz.de/10009427377

Evaluating alternative methods for testing asset pricing models with historical data

Lozano-Banda, Martín; Rubio, Gonzalo - In: Journal of empirical finance 18 (2011) 1, pp. 136-146

Persistent link: https://www.econbiz.de/10009301158