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Croux, Christophe; Exterkate, Peter - Tinbergen Instituut - 2011

Factor construction methods are widely used to summarize a large panel of variables by means of a relatively small …

Persistent link: https://www.econbiz.de/10011257444

Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production

Bos, Charles S.; Koopman, Siem Jan - Tinbergen Instituut - 2010

Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions...

Persistent link: https://www.econbiz.de/10011256745

Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model

Koopman, Siem Jan; Wel, Michel van der - Tinbergen Instituut - 2011

benefit from recent developments in the dynamic factor literature for extracting the common factors from a large panel of … study we use a monthly time series panel of unsmoothed Fama-Bliss zero yields for treasuries of different maturities between … 1970 and 2009, which we combine with a macro panel of 110 series over the same sample period. We show that the relation …

Persistent link: https://www.econbiz.de/10011256536

Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - Tinbergen Instituut

This discussion paper led to a publication in the 'Journal of Applied Econometrics', 2014, 29(1), 65-90. We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor...

Persistent link: https://www.econbiz.de/10011257133

Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters

Koopman, Siem Jan; Mallee, Max I.P.; Wel, Michel van der - Tinbergen Instituut - 2007

This discussion paper has resulted in a publication in the Journal of Business and Economic Statistics.In this discussion paper we introduce time-varying parameters in the dynamic Nelson–Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different...

Persistent link: https://www.econbiz.de/10011257546

Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation

Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - Tinbergen Instituut - 2013

estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part …

Persistent link: https://www.econbiz.de/10011255481

Modelling Issues in Kernel Ridge Regression

Exterkate, Peter - Tinbergen Instituut - 2011

Kernel ridge regression is gaining popularity as a data-rich nonlinear forecasting tool, which is applicable in many different contexts. This paper investigates the influence of the choice of kernel and the setting of tuning parameters on forecast accuracy. We review several popular kernels,...

Persistent link: https://www.econbiz.de/10011255762

Which Brands gain Share from which Brands? Inference from Store-Level Scanner Data

Oest, Rutger van; Franses, Philip Hans - Tinbergen Instituut - 2003

Market share models for weekly store-level data are useful to understand competitive structures by delivering own and cross price elasticities. These models can however not be used to examine which brands lose share to which brands during a specificperiod of time. It is for this purpose that we...

Persistent link: https://www.econbiz.de/10011256434

Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting

Lucas, André; Zhang, Xin - Tinbergen Instituut - 2014

We present a simple new methodology to allow for time variation in volatilities using a recursive updating scheme similar to the familiar RiskMetrics approach. We update parameters using the score of the forecasting distribution rather than squared lagged observations. This allows the parameter...

Persistent link: https://www.econbiz.de/10011257169

An Alternative Bayesian Approach to Structural Breaks in Time Series Models

Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Instituut - 2011

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

Persistent link: https://www.econbiz.de/10011257521

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