Similar Search Results

Learning forecast-efficient yield curve factor decompositions with neural networks

Kauffmann, Piero C.; Takada, Hellinton H.; Terada, Ana T.; … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-15

Most factor-based forecasting models for the term structure of interest rates depend on a fixed number of factor loading functions that have to be specified in advance. In this study, we relax this assumption by building a yield curve forecasting model that learns new factor decompositions...

Persistent link: https://www.econbiz.de/10013355189

Measuring foreign impact : leading index construction using hierarchical dynamic factor model

Reklaite, Agne - In: Baltic journal of economics 16 (2016) 1, pp. 21-32

In this paper a new method of constructing the leading economic index is presented. Its main advantage is the ability …

Persistent link: https://www.econbiz.de/10011890861

Daily news sentiment and monthly surveys : a mixed-frequencydynamic factor model for nowcasting consumer confidence

Algaba, Andres; Borms, Samuel; Boudt, Kris; Verbeken, Brecht - 2021

consumer confidence index are computationally simple. In a Monte Carlo simulation study and an empirical application concerning …

Persistent link: https://www.econbiz.de/10012437743

Divisia monetary aggregates and US GDP nowcasting

Tang, Biyan; Yemba, Boniface; Chang, Dongfeng - In: Applied economics 52 (2020) 32, pp. 3538-3554

Persistent link: https://www.econbiz.de/10012258954

Forecasting the Malmquist Productivity Index

Daskovska, Alexandra; Van Bellegem, Sébastien; Simar, … - 2008

The Malmquist Productivity Index (MPI) suggests a convenient way of measuring the productivity change of a given unit … productivityt index of 17 OCDE countries, constructed from their GDP, labor and capital stock …

Persistent link: https://www.econbiz.de/10014217663