We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box-Cox transform to the matrix case. The matrix Box-Cox model of realized covariances (MBC-RCov) is based on transformations of the covariance matrix eigenvalues, while for the Box-Cox...

In diesem Forschungsbericht wird über den Anlass, die Methodik und die Ergebnisse der großen Revision 2014 der IAB-Arbeitszeitrechnung (AZR) im Rahmen der Volkswirtschaftlichen Gesamtrechnungen (VGR) für den Zeitraum 1991 bis 2013 berichtet. Im Rahmen der AZR, die in die VGR eingebunden ist,...

We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The...