The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging … problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate … dynamic model with a monthly time index: artificial missing values are inserted for the intermediate months of the quarterly …

Time varying patterns in US growth are analyzed using various univariate model structures, starting from a naive model … including time variation in the mean and variance requires careful investigation of possible identification issues of the … data. Empirical results indicate that incorporating time variation in mean growth rates as well as in volatility are …

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model … study the information theoretic optimality of the updating steps for the time-varying spatial dependence parameter. We adopt …-border lending data and include country-specific and Europe-wide risk factors as controls. We find a high, time-varying degree of …

space analysis. Key economic variables are modeled jointly with principal components from a large time series panel of … macroeconomic indicators using a multivariate unobserved components time series model. When the key economic variables are observed … precisions when panel size and time series dimensions are moderate. …

them more suitable for real-time forecasting. We show that the factor models have been able to systematically beat the …

citizens thus strongly affects their access to finance. Finally, we review the recent literature on the time variation of …