Search Results - subject:"factor Models"

An Error Correction Factor Model of Term Structure Slopes in International Swaps Markets

Novales, Alfonso; Abad, Pilar - Facultad de Ciencias Económicas y Empresariales, … - 2002

The first two principal components in the vector of term structure slopes from IRS markets in eight major currencies can be approximately identified as the slopes for the US dollar and Deutsche mark. Each of the eight slopes considered is cointegrated with these two factors. The implied Error...

Persistent link: https://www.econbiz.de/10005115644

The Forecasting Ability of Factor Models of the Term Structure of IRS Markets

Novales, Alfonso; Abad, Pilar - Facultad de Ciencias Económicas y Empresariales, … - 2002

proprerty regarding risk management. The result is quite striking, because factor models are purely static, and forecasts for … the factors must be obtained in advance of interest rate forecast.factor models … forecasting horizons. Evidence is provided for the Deutsche mark, Spanish peseta, Japanese yen and US Dollar. Forecast from factor …

Persistent link: https://www.econbiz.de/10005115645

A note on the general solution for a projection matrix in latent factor models

Groß, Jürgen; Lübke, Karsten; Weihs, Claus - 2002

Persistent link: https://www.econbiz.de/10009772061

Determination of optimal prediction oriented multivariate latent factor models using loss functions

Weihs, Claus; Hothorn, Torsten - 2002

In this paper a projection pursuit method is developed which determines optimal multivariate latent factor models based …

Persistent link: https://www.econbiz.de/10009775973

Three Essays on Bayesian Factor Models

Piatek, Rémi - 2010

The present dissertation consists of three stand-alone research papers that all deal with factor models from a Bayesian …

Persistent link: https://www.econbiz.de/10009471699

Analyse der Übertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR / A FAVAR-based Analysis of the Transmission of US Shocks to Germany

Eickmeier, Sandra - In: Jahrbücher für Nationalökonomie und Statistik 230 (2010) 5, pp. 571-600

Summary The paper assesses the transmission of US supply, demand and monetary policy shocks between 1976 and 2008 based on a factor-augmented vector autoregressive model (FAVAR) which is applied to a newly constructed set of more than 200 German time series. The study not only assesses the...

Persistent link: https://www.econbiz.de/10014609303

Commodity prices, commodity currencies, and global economic developments

Groen, Jan J. J.; Pesenti, Paolo - C.E.P.R. Discussion Papers - 2010

In this paper we seek to produce forecasts of commodity price movements that can systematically improve on naive statistical benchmarks, and revisit the forecasting performance of changes in commodity currencies as efficient predictors of commodity prices, a view emphasized in the recent...

Persistent link: https://www.econbiz.de/10008530384

Interest Rate Co-movements, Global Factors and the Long End of the Term Spread

Byrne, Joseph P.; Fazio, Giorgio; Fiess, Norbert - Scottish Institute for Research in Economics (SIRE) - 2010

The disconnect between rising short and low long interest rates has been a distinctive feature of the 2000s. Both research and policy circles have argued that international forces, such as global monetary policy (e.g. Rogoff, 2006); international business cycles (e.g. Borio and Filardo, 2007);...

Persistent link: https://www.econbiz.de/10010553676

Cross-Sectional Asset Pricing Tests

Jagannathan, Ravi; Schaumburg, Ernst; Zhou, Guofu - In: Annual Review of Financial Economics 2 (2010) 1, pp. 49-74

A major problem in finance is to understand why different financial assets earn vastly different returns on average. In this paper, we survey various econometric approaches that have been developed to empirically examine various asset pricing models used to explain the difference in cross...

Persistent link: https://www.econbiz.de/10008835299

Estimating and forecasting the euro area monthly national accounts from a dynamic factor model

Angelini, Elena; Banbura, Marta; Rünstler, Gerhard - In: OECD Journal: Journal of Business Cycle Measurement and … 2010 (2010) 1, pp. 1-22

We estimate and forecast growth in euro area monthly GDP and its components from the dynamic factor model of Doz et al. (2006), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting with cross-equation accounting identities. A...

Persistent link: https://www.econbiz.de/10008740655