We develop a small-scale dynamic factor model for the Swiss economy based on an appropriately selected set of indicators. The resulting business cycle factor is in striking accordance with historical Swiss business cycle fluctuations. Our proposed model demonstrates a remarkable performance in...

We have assessed the effect of data releases when constructing short-term point and density forecasts of the Spanish gross domestic product growth. For this purpose, we considered a real-forecasting exercise in which we defined several pseudo-data vintages that had a mixture of monthly and...

Quarterly GDP figures usually are published with a delay of some weeks. A common way to generate GDP series of higher frequency, i.e. to nowcast GDP, is to use available indicators to calculate a single index by means of a common factor derived from a dynamic factor model (DFM). This paper deals...