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Dynamic factor models with smooth loadings for analyzing the term structure of interest rates
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009
Persistent link: https://www.econbiz.de/10003851230
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Tracking growth and the business cycle : a stochastic common cycle model for the euro area
Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003
Persistent link: https://www.econbiz.de/10001792789
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Vulnerability in a stochastic dynamic model
Elbers, Chris; Gunning, Jan Willem - 2003
Persistent link: https://www.econbiz.de/10001792791
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Beating the random walk : a performance assessment of long-term interest rate forecasts
Butter, Frank A. G. den; Jansen, Pieter W. - 2008
Persistent link: https://www.econbiz.de/10003787153
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Smooth transition spatial autoregressive models
Andree, Bo Pieter Johannes; Blasques, Francisco; … - 2017
geometric ergodicity of the model. Simulation results justify the use of limit theory in empirically relevant settings. The …
Persistent link: https://www.econbiz.de/10011658755
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Accelerating peak dating in a dynamic factor Markov-Switching Model
Os, Bram van; Dijk, Dick van - 2020 - Revision: November 29, 2020
The dynamic factor Markov-switching (DFMS) model introduced by Chauvet (1998) has proven to be a powerful framework to measure the business cycle. We extend the DFMS model by allowing for time-varying transition probabilities, with the aim of accelerating the real-time dating of turning points...
Persistent link: https://www.econbiz.de/10012285510
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Dynamic factor models with clustered loadings : forecasting education flows using unemployment data
Blasques, Francisco; Hoogerkamp, Meindert Heres; … - 2020
period than our detailed education data panel, we propose a twostep estimation procedure. First, we consider a score …
Persistent link: https://www.econbiz.de/10012315409
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Intraday stock price dependence using dynamic discrete copula distributions
Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015
Persistent link: https://www.econbiz.de/10010494787
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A multilevel factor model for economic activity with observation-driven dynamic factors
Artemova, Mariia; Blasques, Francisco; Koopman, Siem Jan - 2023
interdependence structures across multiple sectors. The estimation procedure is based on a multistep least squares method which is …
Persistent link: https://www.econbiz.de/10014249846
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Slow expectation-maximization convergence in low-noise dynamic factor models
Opschoor, Daan; Dijk, Dick van - 2023
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 …
Persistent link: https://www.econbiz.de/10014249849