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The economic drivers of volatility and uncertainty

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Monitoring multicountry macroeconomic risk

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Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

inference that feature varying level of trade-off between estimation precision and computational speed. Using monthly data for … measures, resulting from the new model, can be used to implemennt joint risk scenario analysis. …

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Monitoring multicountry macroeconomic risk

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Global macroeconomic uncertainty

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Constructing a composite coincident indicator for a post-transition country

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Dynamic factor models and fractional integration : with an application to US real economic activity

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Econometrics : open access journal 12 (2024) 4, pp. 1-13

This paper makes a twofold contribution. First, it develops the dynamic factor model of by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable information on the degree...

Persistent link: https://www.econbiz.de/10015272692

Dynamic factor models and fractional integration : with an application to US real economic activity

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2024

This paper makes a twofold contribution, First, it develops the dynamic factor model of Barigozzi et al. (2016) by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable...

Persistent link: https://www.econbiz.de/10015125374