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Dynamic factor models with clustered loadings : forecasting education flows using unemployment data

Blasques, Francisco; Hoogerkamp, Meindert Heres; … - 2020

We propose a dynamic factor model which we use to analyze the relationship between education participation and national … unemployment, as well as to forecast the number of students across the many different types of education. By clustering the factor … loadings associated with the dynamic macroeconomic factor, we can measure to what extent the different types of education …

Persistent link: https://www.econbiz.de/10012315409

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Pawel, Janus; Koopman, Siem Jan - 2009

Persistent link: https://www.econbiz.de/10003913191

A note on "continuous invertibility and stable QML estimation of the EGARCH(1,1) model"

Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2015

We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other...

Persistent link: https://www.econbiz.de/10011401308

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10011373822

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 - 2007

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 maturities. The Nelson–Siegel model has been recently reformulated as a dynamic factor model with vector...

Persistent link: https://www.econbiz.de/10011373825

The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008

In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...

Persistent link: https://www.econbiz.de/10011376640

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10011379469

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...

Persistent link: https://www.econbiz.de/10011380135

The stochastic volatility in mean model

Koopman, Siem Jan; Hol Uspensky, Eugenie - 2000

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...

Persistent link: https://www.econbiz.de/10011303314

Forecasting the variability of stock index returns with stochastic volatility models and implied volatility

Hol Uspensky, Eugenie; Koopman, Siem Jan - 2000

In this paper we compare the predictive abilility of Stochastic Volatility (SV)models to that of volatility forecasts implied by option prices. We develop anSV model with implied volatility as an exogeneous var able in the varianceequation which facilitates the use of statistical tests for...

Persistent link: https://www.econbiz.de/10011304384