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Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area

e Azevedo, Joao Valle; Koopman, Siem Jan; Rua, Antonio - 2003

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

Persistent link: https://www.econbiz.de/10010324815

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/10010325750

The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008

accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

Persistent link: https://www.econbiz.de/10010325871

Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates

Jungbacker, Borus; Koopman, Siem Jan; van der Wel, Michel - 2009

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/10010325734

Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, Andre - 2011

This paper has been accepted for publication in the 'Review of Economics and Statistics'.We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of families of parametric distributions, may be...

Persistent link: https://www.econbiz.de/10010325908

The Multi-State Latent Factor Intensity Model for Credit Rating Transitions

Koopman, Siem Jan; Lucas, André; Monteiro, André - 2005

A new empirical reduced-form model for credit rating transitions is introduced. It is a parametric intensity-based duration model with multiple states and driven by exogenous covariates and latent dynamic factors. The model has a generalized semi-Markov structure designed to accommodate many of...

Persistent link: https://www.econbiz.de/10010325151

Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models

Mesters, Geert; Koopman, Siem Jan; Ooms, Marius - 2011

index by univariate and multivariate long-memory stochastic volatility models. …

Persistent link: https://www.econbiz.de/10010326501

Empirical Bayes Methods for Dynamic Factor Models

Koopman, Siem Jan; Mesters, Geert - 2014

We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...

Persistent link: https://www.econbiz.de/10010377188

Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes

Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - 2012

We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We show how these regions are affected by the choice of parameterization and scaling, which are key features of GAS...

Persistent link: https://www.econbiz.de/10010326396

Model-based Measurement of Latent Risk in Time Series with Applications

Bijleveld, Frits; Commandeur, Jacques; Gould, Phillip; … - 2005

Risk is at the center of many policy decisions in companies, governments and other institutions. The risk of road fatalities concerns local governments in planning counter- measures, the risk and severity of counterparty default concerns bank risk managers on a daily basis and the risk of...

Persistent link: https://www.econbiz.de/10010325481