This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...

See also a publication with a similar title in <A href="http://www.sciencedirect.com/science/article/pii/S0261560611001161">'Journal of International Money and Finance'</A>, 30(7), 1535-61.<p>Using long time series for sovereign bond markets of fifteen industrialized economies from 1875 to 2009, I find that financial market integration by the end of the 20th century was higher...</p></a>

This discussion paper resulted in an article in the <I>International Journal of Forecasting</I> (2014). Volume 30, pages 572-584.<P> We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis. Key economic variables are modeled jointly with...</p></i>