Dynamic factor models / edited by Eric Hillebrand, Siem Jan Koopman.

Saved in:

Bibliographic Details
Other Authors:	Hillebrand, Eric (Editor), Koopman, S. J. (Siem Jan) (Editor)
Format:	Book
Language:	English
Published:	Bingley, UK : Emerald, 2016.
Edition:	First edition.
Series:	Advances in econometrics ; v. 35.
Subjects:	Macroeconomics. Macroeconomics > Econometric models. Business forecasting.

Table of Contents:

An overview of the factor-augmented error-correction model
Estimation of VAR systems from mixed-frequency data: the stock and the flow case
Modeling yields at the zero lower bound: are shadow rates the solution?
Dynamic factor models for the volatility surface
Analyzing international business and financial cycles using multi-level factor models: a comparison of alternative approaches
Fast ML estimation of dynamic bifactor models: an application to European inflation
Country shocks, monetary policy expectations and ECB decisions. A dynamic non-linear approach
Modeling financial markets comovements during crises: a dynamic multi-factor approach
Specification and estimation of Bayesian dynamic factor models: a Monte Carlo analysis with an application to global house price comovement
Small-versus big-data factor extraction in dynamic factor models: an empirical assessment
Regularized estimation of structural instability in factor models: the US macroeconomy and the great moderation
Dating business cycle turning points for the French economy: an MS-DFM approach
Common faith or parting ways? A time varying parameters factor analysis of Euro-area inflation
Nowcasting business cycles: a Bayesian approach to dynamic heterogeneous factor models
On the selection of common factors for macroeconomic forecasting
On the design of data sets for forecasting with dynamic factor models.

Similar Items