This paper investigates the predictive power for future domestic economic activity included in domestic stock prices, using a Granger causality analysis in the frequency domain. We are able to evaluate whether the predictive power is concentrated at the slowly fluctuating components or at the...

This paper analyzes impulse response functions of vector autoregression models for variables that are linearly transformed. These impulse responses are equal to the linear transformation of the original impulse responses only if the shocks are equal to the linear transformation of the original...

This paper compares Bayesian estimators with different prior choices for the time variation of the coefficients of Time Varying Parameter Vector Autoregression models using Monte Carlo Simulations. Since the commonly used prior choice only allows for a tiny amount of time variation, less...

This paper compares the importance of different sovereign credit rating determinants over time, using a sample of 90 countries for the years 2002-2015. Applying the composite marginal likelihood approach, we estimate a multi-year ordered probit model for each of the three major credit rating...

Factor construction methods are widely used to summarize a large panel of variables by means of a relatively small number of representative factors. We propose a novel factor construction procedure that enjoys the properties of robustness to outliers and of sparsity; that is, having relatively...

A method for principal component analysis is proposed that is sparse and robust at the same time. The sparsity delivers principal components that have loadings on a small number of variables, making them easier to interpret. The robustness makes the analysis resistant to outlying observations....