Showing 1 - 7 of 7
This paper deals with the problem of pricing credit derivatives portfolio—CDO. The article assumes that the systematic … homogeneous portfolio approximation. Thus the CDO price can be determined. The numerical analysis is carried out and the …
Persistent link: https://www.econbiz.de/10011048791
In this article, we assess the relative performance of factor models to forecast GDP growth in Portugal. A large dataset is compiled for the Portuguese economy and its usefulness for nowcasting and short-term forecasting is investigated. Since, in practice, one has to cope with different...
Persistent link: https://www.econbiz.de/10011116957
How should we forecast GDP? Should we forecast directly the overall GDP or aggregate the forecasts for each of its components using some level of disaggregation? The search for the answer continues to motivate several horse races between these two approaches. Nevertheless, independently of the...
Persistent link: https://www.econbiz.de/10010738025
Using the methodology developed in Stock and Watson (2002a), this paper proposes to exploit the information that contains the factor loading to identify the countries sharing common factors. The proposal is illustrated by analyzing the relation with the international reference-cycle of a large...
Persistent link: https://www.econbiz.de/10011048707
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/10011048801
Governments and central banks need to have an accurate and timely assessment of indicators for the current month, as this is essential for providing a reliable and early analysis of the current economic situation. The index of industrial production (IIP) is probably the most important and widely...
Persistent link: https://www.econbiz.de/10010588231
In this paper, we evaluate the role of using consumer price index (CPI) disaggregated data to improve the accuracy of inflation forecasts. Our forecasting approach is based on extracting the factors from the subcomponents of the CPI at the highest degree of disaggregation. The data set contains...
Persistent link: https://www.econbiz.de/10010573296