Dynamic factor models:
Saved in:
| Other Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
United Kingdom [u.a.]
Emerald
[2016]
|
| Edition: | First edition |
| Series: | Advances in econometrics
volume 35 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Klappentext |
| Physical Description: | xx, 664 Seiten Diagramme |
| ISBN: | 9781785603532 |
Staff View
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Record in the Search Index
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| adam_text | CONTENTS
LIST OF CONTRIBUTORS
EDITORIAL INTRODUCTION
DYNAMIC FACTOR MODELS: A BRIEF
RETROSPECTIVE xv
PARTI
METHODOLOGY
AN OVERVIEW OF THE FACTOR-AUGMENTED
ERROR-CORRECTION MODEL
Anindya Banerjee, Massimiliano Marcellino and 3
Igor Masten
ESTIMATION OF VAR SYSTEMS FROM
MIXED-FREQUENCY DATA: THE STOCK AND
THE FLOW CASE
Lukas Koelbl, Alexander Braumann, 43
Elisabeth Felsenstein and Manfred Deistler
MODELING YIELDS AT THE ZERO LOWER BOUND:
ARE SHADOW RATES THE SOLUTION?
Jens H. E. Christensen and Glenn D. Rudebusch 75
DYNAMIC FACTOR MODELS FOR THE
VOLATILITY SURFACE
Michel van der Wei, Sait R. Ozturk and 127
Dick van Dijk
V
VI
CONTENTS
PART II
FACTOR STRUCTURE AND SPECIFICATION
ANALYZING INTERNATIONAL BUSINESS AND
FINANCIAL CYCLES USING MULTI-LEVEL FACTOR
MODELS: A COMPARISON OF ALTERNATIVE
APPROACHES
Jörg Breitung and Sandra Eickmeier
FAST ML ESTIMATION OF DYNAMIC BIFACTOR
MODELS: AN APPLICATION TO EUROPEAN
INFLATION
Gabriele Fiorentini, Alessandro Galesi and
Enrique Sentano
COUNTRY SHOCKS, MONETARY POLICY
EXPECTATIONS AND ECB DECISIONS. A DYNAMIC
NON-LINEAR APPROACH
Maximo Camacho, Danilo Leiva-Leon and
Gabriel Perez-Quiros
MODELLING FINANCIAL MARKETS
COMOVEMENTS DURING CRISES: A DYNAMIC
MULTI-FACTOR APPROACH
Martin Belvisi, Riccardo Pianeti and Giovanni Urga
SPECIFICATION AND ESTIMATION OF BAYESIAN
DYNAMIC FACTOR MODELS: A MONTE CARLO
ANALYSIS WITH AN APPLICATION TO GLOBAL
HOUSE PRICE COMOVEMENT
Laura E. Jackson, M. Ayhan Kose,
Christopher Otrok and Michael T. Owyang
SMALL- VERSUS BIG-DATA FACTOR EXTRACTION
IN DYNAMIC FACTOR MODELS: AN EMPIRICAL
ASSESSMENT
Pilar Poncela and Esther Ruiz
177
215
283
317
361
401
Contents
PART III
INSTABILITY
VI1
REGULARIZED estimation of structural
INSTABILITY IN FACTOR MODELS: THE US
MACROECONOMY AND THE GREAT MODERATION
Laurent Callot and Johannes Tang Kristensen
DATING BUSINESS CYCLE TURNING POINTS FOR
THE FRENCH ECONOMY: AN MS-DFM APPROACH
Catherine Doz and Anna Petronevich
COMMON FAITH OR PARTING WAYS? A TIME
VARYING PARAMETERS FACTOR ANALYSIS OF
EURO-AREA INFLATION
Davide Delle Monache, Ivan Petrella and
Fabrizio Vendittì
PART IV
NOWCASTING AND FORECASTING
NOWCASTING BUSINESS CYCLES: A BAYESIAN
APPROACH TO DYNAMIC HETEROGENEOUS
FACTOR MODELS
Antonello D’Agostino, Domenico Giannone,
Michele Lenza and Michele Modugno
ON THE SELECTION OF COMMON FACTORS FOR
MACROECONOMIC FORECASTING
Alessandro Giovannein and Tommaso Proietti
ON THE DESIGN OF DATA SETS FOR FORECASTING
WITH DYNAMIC FACTOR MODELS
Gerhard Runstler
437
481
539
569
595
631
Advances in Econometrics
Volume 35
Dynamic Factor Models
Dynamic factor models (DFMs) constitute an active and growing area of research, both in
econometrics, in macroeconomics, and in finance. Many applications lie at the center of policy
questions raised by the recent financial crises, such as the connections between yields on
government debt, credit risk, inflation, and economic growth. This volume collects a key selection of
updo-date contributions that cover a wide range of issues in the context of dynamic factor modeling,
such as specification, estimation, and application of DFMs. Examples include further developments
in DFM for mixed-frequency data settings, extensions to time-varying parameters and structural
breaks, for multi-level factors associated with subsets of variables, in factor augmented error
correction models, and in many other related aspects. A number of contributions propose new
estimation procedures for DFM, such as spectral expectation-maximization algorithms and Bayesian
approaches. Numerous applications are discussed, including the dating of business cycles, implied
volatility surfaces, professional forecaster survey data, and many more.
|
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| indexdate | 2024-07-10T07:22:37Z |
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| isbn | 9781785603532 |
| language | English |
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| physical | xx, 664 Seiten Diagramme |
| publishDate | 2016 |
| publishDateSearch | 2016 |
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| publisher | Emerald |
| record_format | marc |
| series | Advances in econometrics |
| series2 | Advances in econometrics |
| spelling | Dynamic factor models edited by Eric Hillebrand, Siem Jan Koopman First edition United Kingdom [u.a.] Emerald [2016] xx, 664 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Advances in econometrics volume 35 Faktorenanalyse (DE-588)4016338-6 gnd rswk-swf Dynamisches Modell (DE-588)4150932-8 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Faktorenanalyse (DE-588)4016338-6 s Dynamisches Modell (DE-588)4150932-8 s b DE-604 Hillebrand, Eric (DE-588)1081493186 edt Koopman, Siem Jan (DE-588)171047141 edt Advances in econometrics volume 35 (DE-604)BV004012611 35 Digitalisierung UB Augsburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028722626&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Augsburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028722626&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Dynamic factor models Advances in econometrics Faktorenanalyse (DE-588)4016338-6 gnd Dynamisches Modell (DE-588)4150932-8 gnd |
| subject_GND | (DE-588)4016338-6 (DE-588)4150932-8 (DE-588)4143413-4 |
| title | Dynamic factor models |
| title_auth | Dynamic factor models |
| title_exact_search | Dynamic factor models |
| title_full | Dynamic factor models edited by Eric Hillebrand, Siem Jan Koopman |
| title_fullStr | Dynamic factor models edited by Eric Hillebrand, Siem Jan Koopman |
| title_full_unstemmed | Dynamic factor models edited by Eric Hillebrand, Siem Jan Koopman |
| title_short | Dynamic factor models |
| title_sort | dynamic factor models |
| topic | Faktorenanalyse (DE-588)4016338-6 gnd Dynamisches Modell (DE-588)4150932-8 gnd |
| topic_facet | Faktorenanalyse Dynamisches Modell Aufsatzsammlung |
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