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Is there really a global business cycle? : a dynamic factor model with stochastic factor selection
Berger, Tino; Pozzi, Lorenzo - 2016
, investment) using a panel of 60 countries over the period 1961 - 2014. The paper presents a Bayesian stochastic factor selection …
Persistent link: https://www.econbiz.de/10011556201
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Dynamics in clickthrough and conversion probabilities of paid search advertisements
Castelein, Anoek; Fok, Dennis; Paap, Richard - 2019
We develop a dynamic Bayesian model for clickthrough and conversion probabilities of paid search advertisements. These …
Persistent link: https://www.econbiz.de/10012057153
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Consumption and wealth in the long run : an integrated unobserved component approach
Gardberg, Malin; Pozzi, Lorenzo - 2018 - Revision: September 2018
The ratio of consumption to total household wealth (i.e., tangible assets plus unobserved human wealth) is commonly calculated from the estimation of a log-linear version of the household intertemporal budget constraint as a cointegrating relationship between consumption, assets and earnings...
Persistent link: https://www.econbiz.de/10011844588
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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
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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
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Examining the Nelson-Siegel class of term structure models
Pooter, Michiel de - 2007
In this paper I examine various extensions of the Nelson and Siegel (1987) model with the purpose of fitting and forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in-sample fit of the term structure. However, I show that the...
Persistent link: https://www.econbiz.de/10011372504
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Predicting the term structure of interest rates : incorporating parameter uncertainty, model uncertainty and macroeconomic information
Pooter, Michiel de; Ravazzolo, Francesco; Dijk, Dick van - 2007 - This version: March 3, 2007
used in the literature. We assess the relevance of parameter uncertainty by examining the added value of using Bayesian … using the Bayesian or frequentist approach. We show that mitigating model uncertainty by combining forecasts leads to … substantial gains in forecasting performance, especially when applying Bayesian model averaging. …
Persistent link: https://www.econbiz.de/10011372519
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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 - 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
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Forecasting interest rates with shifting
Dijk, Dick van; Koopman, Siem Jan; Wel, Michel van der; … - 2012
Persistent link: https://www.econbiz.de/10009723022
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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