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Likelihood-based analysis for dynamic factor models
Jungbacker, Borus; Koopman, Siem Jan - 2008
We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...
Persistent link: https://www.econbiz.de/10011373811
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An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011383033
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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
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Forecasting football match results in national league competitions using score-driven time series models
Koopman, Siem Jan S.J.; Lit, Rutger - 2017
We develop a new dynamic multivariate model for the analysis and the forecasting of football match results in national … model specification yield the best forecasting results. In an extensive forecasting study, we consider match results from …
Persistent link: https://www.econbiz.de/10011688523
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Periodic unobserved cycles in seasonal time series with an application to US unemployment
Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - 2006
This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …
Persistent link: https://www.econbiz.de/10011350384
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The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model
Gorgi, P.; Koopman, Siem Jan; Lit, R. - 2018
surface types. We finally show that our proposed model can also be effective in forecasting. We provide evidence that our … model significantly outperforms existing models in the forecasting of tennis match results. …
Persistent link: https://www.econbiz.de/10011794344
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The evolution of forecast density combinations in economics
Aastveit, Knut Are; Mitchell, James; Ravazzolo, Francesco; … - 2018
Increasingly, professional forecasters and academic researchers present model-based and subjective or judgment-based forecasts in economics which are accompanied by some measure of uncertainty. In its most complete form this measure is a probability density function for future values of the...
Persistent link: https://www.econbiz.de/10011895935
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Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
been applied to oil price forecasting, by allowing for sequentially updating of time-varying combination weights …-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach … analysis of profit-loss and hedging against price risk. …
Persistent link: https://www.econbiz.de/10012545165
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Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
been applied to oil price forecasting, by allowing for sequentially updating of time-varying combination weights …-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach … analysis of profit-loss and hedging against price risk. …
Persistent link: https://www.econbiz.de/10012795319
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Does disagreement amongst forecasters have predictive value?
Legerstee, Rianne; Franses, Philip Hans - 2010
Forecasts from various experts are often used in macroeconomic forecasting models. Usually the focus is on the mean or …
Persistent link: https://www.econbiz.de/10011381819