Similar Search Results

Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P. - 2014

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...

Persistent link: https://www.econbiz.de/10010391543

Nowcasting and forecasting economic growth in the Euro area using principal components

Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - 2014

short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …

Persistent link: https://www.econbiz.de/10010395082

Bayesian forecasting of US growth using basic time varying parameter models and expectations data

Basturk, Nalan; Ceyhan, Pinar; Dijk, Herman K. van - 2014

forecasting performance of the various model specifications. The extension of a basic growth model with a constant mean to models … expectations is important for forecasting growth in specific periods, such as the the recession periods around 2000s and around …

Persistent link: https://www.econbiz.de/10010399680

Spillover dynamics for systemic risk measurement using spatial financial time series models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

Persistent link: https://www.econbiz.de/10010391531

Asset market linkages in crisis periods

Hartmann, Philipp; Straetmans, Stefan; Vries, Casper G. de - 2001

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this nonparametric measure is not predisposed toward the normal distribution and can allow for nonlinear relationships. Our estimates for the G-5 countries suggest...

Persistent link: https://www.econbiz.de/10011317457

Investor sentiment and employment

Montone, Maurizio; Zwinkels, Remco C. J. - 2015

We find that investor sentiment should affect a firm's employment policy in a world with moral hazard and noise traders. Consistent with the model's predictions, we show that higher sentiment among US investors leads to: (1) higher employment growth worldwide; (2) lower labor productivity, as the...

Persistent link: https://www.econbiz.de/10010503991