Similar Search Results

Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices

Casoli, Chiara; Lucchetti, Riccardo - 2021

In this article, we propose a cointegration-based Permanent-Transitory decomposition for nonstationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …-term stationary one. A Monte Carlo experiment shows that taking into account the cointegration structure in the DFM leads to a much …

Persistent link: https://www.econbiz.de/10012596987

Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices

Casoli, Chiara; Lucchetti, Riccardo - In: The econometrics journal 25 (2022) 2, pp. 494-514

Persistent link: https://www.econbiz.de/10013253846

Agnostic output gap estimation and decomposition in large cross-sections

Eckert, Florian; Sarferaz, Samad - 2019

equally in terms of parameter estimation. Based on this feature we show how to extract common trends and cycles from the data …

Persistent link: https://www.econbiz.de/10012137316

Tests of Equal Accuracy for Nested Models with Estimated Factors

Gonçalves, Sílvia - 2019

-augmented regression models are used to forecast. We provide conditions under which the estimation of the factors does not affect the … factor estimation and apply the tests to the case of forecasting excess returns to the S&P 500 Composite Index …

Persistent link: https://www.econbiz.de/10012903921

Tracking economic activity with alternative high-frequency data

Eckert, Florian; Kronenberg, Philipp; Mikosch, Heiner; … - 2020

Most macroeconomic indicators failed to capture the sharp economic fluctuations during the Corona crisis in a timely manner. Instead, alternative high-frequency data have been used, aiming to monitor the economic situation. However, these data are often only loosely related to the business cycle...

Persistent link: https://www.econbiz.de/10012395297

On the use of spectral value decomposition for the construction of composite indices

Farnia, Luca - 2019

High dimensional composite index makes experts' preferences in setting weights a hard task. In the literature, one of the approaches to derive weights from a data set is Principal Component or Factor Analysis that, although conceptually different, they are similar in results when FA is based on...

Persistent link: https://www.econbiz.de/10011999119

Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility

Kleppe, Tore Selland - 2019

We propose a factor state-space approach with stochastic volatility to model and forecast the term structure of future contracts on commodities. Our approach builds upon the dynamic 3-factor Nelson-Siegel model and its 4-factor Svensson extension and assumes for the latent level, slope and...

Persistent link: https://www.econbiz.de/10012864217

Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model

Hautsch, Nikolaus (contributor) - 2007

relations and cross-dependencies between the individual variables. This confirms economic theory and suggests more parsimonious …

Persistent link: https://www.econbiz.de/10003634717

Trend dominance in macroeconomic fluctuations

Shibayama, Katsuyuki - 2015

concern about the convention that the non-stationary data is detrended in standard DSGE-type structural estimation, in the …

Persistent link: https://www.econbiz.de/10011342928

Global liquidity and commodity prices uncertainty using SFAVEC model

Kyei-Mensah, Justice - In: Research in globalization 8 (2024), pp. 1-17

This paper examines the impact of global liquidity on global commodity prices and asset prices in some major developing and developed economies. Specifically, the global liquidity on global commodity prices and asset prices is investigated using data from six major developing and emerging...

Persistent link: https://www.econbiz.de/10015047800