This paper investigates whether information from foreign yield curves helps forecast domestic yield curves out-of-sample. A nested methodology to forecast yield curves in domestic and international settings is applied on three major countries (the US, Germany and the UK). This novel methodology...

In this paper we propose a methodology to estimate a dynamic factor model on data sets with an arbitrary pattern of missing data. We modify the Expectation Maximisation (EM) algorithm as proposed for a dynamic factor model by Watson and Engle (1983) to the case with general pattern of missing...

The thesis deals with structural and reduced-form modeling and forecasting of key macroeconomic variables (real growth of GDP, inflation, exchange rate, and policy interest rate). The central part of the thesis (Chapters 2-4) consists of three chapters. Chapter 2 considers the structural DSGE...