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Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models
Blasques, Francisco; Koopman, Siem Jan; Mallee, Max - 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/10010491332
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Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components
Hindrayanto, Irma; Koopman, Siem Jan; de Winter, Jasper - 2014
short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …
Persistent link: https://www.econbiz.de/10010491343
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Efficiency Gains of a European Banking Union
Schoenmaker, Dirk; Siegmann, Arjen - 2013
An anticipated benefit of the prospective European Banking Union is stronger supervision of European banks. Another benefit would be enhanced resolution of banks in distress. While national governments confine themselves to the domestic effects of a banking failure, a European Resolution...
Persistent link: https://www.econbiz.de/10010326204
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A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises
Guo, Xu; McAleer, Michael; Wong, Wing-Keung; Zhu, Lixing - 2016
In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...
Persistent link: https://www.econbiz.de/10011451517
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Solution-Driven Specification of DSGE Models
Blasques, Francisco - 2013
This paper proposes a functional specification approach for dynamic stochastic general equilibrium (DSGE) models that explores the properties of the solution method used to approximate policy functions. In particular, the solution-driven specification takes the properties of the solution method...
Persistent link: https://www.econbiz.de/10010326325
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Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis
Brauning, Falk; Koopman, Siem Jan - 2012
We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis … forecasting purposes. Given a dynamic factor model as the data generation process, we provide Monte Carlo evidence for the finite … unbalanced panel contain quarterly and monthly variables. The forecasting accuracy is measured against a set of benchmark models …
Persistent link: https://www.econbiz.de/10010326452
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Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre; … - 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/10010491331
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Bayesian Forecasting of US Growth using Basic Time Varying Parameter Models and Expectations Data
Basturk, Nalan; Ceyhan, Pinar; van Dijk, Herman K. - 2014
forecasting performance of the various model specifications. The extension of a basic growth model with a constant mean to models … expectations is important for forecasting growth in specific periods, such as the the recession periods around 2000s and around …
Persistent link: https://www.econbiz.de/10010491342
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Solution-Driven Specification of DSGE Models
Blasques, Francisco - 2013
This paper proposes a functional specification approach for dynamic stochastic general equilibrium (DSGE) models that explores the properties of the solution method used to approximate policy functions. In particular, the solution-driven specification takes the properties of the solution method...
Persistent link: https://www.econbiz.de/10013082985
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Forecasting Macroeconomic Variables Using Collapsed Dynamic Factor Analysis
Bräuning, Falk; Koopman, Siem Jan - 2012
We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis … forecasting purposes. Given a dynamic factor model as the data generation process, we provide Monte Carlo evidence for the finite … unbalanced panel contain quarterly and monthly variables. The forecasting accuracy is measured against a set of benchmark models …
Persistent link: https://www.econbiz.de/10014170346