-driven dynamics. The new models are highly flexible, scalable to high dimensions, and ensure positivity of covariance and correlation … matrices. The model retains a closed-form likelihood expression, thus allowing for straightforward parameter estimation and …

estimation of static factor models and factor augmented autoregressions using a set of 190 quarterly observations of 144 US …

robust across countries and time periods. Typically, the correlation coefficients at long-run horizons are significantly … negative and the correlation coefficients at short-run horizons are substantially higher. Additionally, there is evidence of … positive correlation at short-run forecast horizons for some countries. …

interdependence structures across multiple sectors. The estimation procedure is based on a multistep least squares method which is …

This paper addresses the poor performance of the Expectation-Maximization (EM) algorithm in the estimation of low … estimation accuracy. Modestly increasing the noise level also accelerates convergence. A nowcasting exercise of euro area GDP …