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Level-slope-curvature : fact or artefact?

Lord, Roger; Pelsser, Antoon André Jean - 2005

conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven … that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our … conjecture that the order present in correlation matrices causes slope. …

Persistent link: https://www.econbiz.de/10011346478

Convergence in European GDP series

Luginbuhl, Rob; Koopman, Siem Jan - 2003

Convergence in gross domestic product series of five European countriesis empirically identified using multivariate time series models that arebased on unobserved components with dynamic converging properties.We define convergence in terms of a decrease in dispersion over timeand model this...

Persistent link: https://www.econbiz.de/10011333256

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

A dynamic yield curve model with stochastic volatility and non-Gaussian interactions : an empirical study of non-standard monetary policy in the euro area

Mesters, Geert; Schwaab, Bernd; Koopman, Siem Jan - 2014

We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...

Persistent link: https://www.econbiz.de/10010362975

Joint modelling and estimation of global and local cross-sectional dependence in large panels

Koopman, Siem Jan; Schaumburg, Julia; Wiersma, Quint - 2021

We propose a new unified approach to identifying and estimating spatio-temporal dependence structures in large panels. The model accommodates global crosssectional dependence due to global dynamic factors as well as local cross-sectional dependence, which may arise from local network structures....

Persistent link: https://www.econbiz.de/10012421000

Closed-form multi-factor copula models with observation-driven dynamic factor loadings

Opschoor, Anne; Lucas, André; Barra, Istvan; Dijk, Dick van - 2019 - Revision: October 23, 2019

-driven dynamics. The new models are highly flexible, scalable to high dimensions, and ensure positivity of covariance and correlation …

Persistent link: https://www.econbiz.de/10011979595

Dynamic factor models with smooth loadings for analyzing the term structure of interest rates

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2010

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 loadings. We further present a statistical procedure based on Wald tests that can be used to find a...

Persistent link: https://www.econbiz.de/10011378359

A tourism financial conditions index

Chang, Chia-Lin; Hui-Kuang, Hsu; McAleer, Michael - 2014 - Revised: May 2014

The paper uses monthly data on financial stock index returns, tourism stock sub-index returns, effective exchange rate returns and interest rate differences from April 2005 – August 2013 for Taiwan that applies Chang’s (2014) novel approach for constructing a tourism financial indicator,...

Persistent link: https://www.econbiz.de/10010350798

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-noise dynamic factor models, commonly used in macroeconomic forecasting and nowcasting. We show analytically and in Monte Carlo simulations how the EM algorithm stagnates in a...

Persistent link: https://www.econbiz.de/10014249849

What causes the positive price-turnover correlation in European housing markets?

Dröes, Martijn I.; Francke, Marc K. - 2016

This paper examines what determines the correlation between prices and turnover in European housing markets. Using a … as GDP and interest rates, also explain part of the price-turnover correlation. The results in this paper imply that, to …

Persistent link: https://www.econbiz.de/10011441590

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