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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. Key economic variables are modeled jointly with principal components from a large time series panel of macroeconomic indicators using a multivariate unobserved components time...
Persistent link: https://www.econbiz.de/10010326452
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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/10010325750
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Measuring Financial Market Integration over the Long Run: Is there a U-Shape?
Volosovych, Vadym - 2011
Using long time series for sovereign bond markets of fifteen industrialized economies from 1875 to 2009, I find that financial market integration by the end of the 20th century was higher than in earlier periods and exhibited a J-shaped trend with a trough in the 1920s. The main reason for the...
Persistent link: https://www.econbiz.de/10010326069
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Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies
Zou, Liang - 2000
This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are studied undervarious market conditions. Among the...
Persistent link: https://www.econbiz.de/10010324569
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The Willingness to pay for Quality Aspects of Durables: Theory and Application to the Car Market
Mulalic, Ismir; Rouwendal, Jan - 2011
Conventional hedonic analysis measures willingness to pay for attributes on the basis of marginal fixed costs. We argue that in many cases variable costs are also affected by these attributes and that this should be taken into account. We develop a simple model to show that the marginal...
Persistent link: https://www.econbiz.de/10010325778
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The Willingness to Pay for Quality Aspects of Durables : Theory and Application to the Car Market
Mulalic, Ismir - 2011
Conventional hedonic analysis measures willingness to pay for attributes on the basis of marginal fixed costs. We argue that in many cases variable costs are also affected by these attributes and that this should be taken into account. We develop a simple model to show that the marginal...
Persistent link: https://www.econbiz.de/10013131626
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Evolutionary Analysis of the Relationship between Economic Growth, Environmental Quality and Resource Scarcity
van den Bergh, Jeroen C.J.M. - 2004
This discussion paper has resulted in a chapter in: (R.U. Ayres, D. Simpson, and M. Toman (eds.)), Scarcity and Growth in the Millennium, 2005, Resources for the Future, Washington DC, 177-97.
Persistent link: https://www.econbiz.de/10010325531
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Business Networks and Crisis Performance: Professional, Political, and Family Ties
Carney, Richard W.; Child, Travers Barclay - 2015
, political, and family networks for 1,290 large East Asian firms. We find that professional networks buoyed performance during … the 2008 financial crisis; political and family networks did not. We provide evidence that information access is a key … mechanism underlying the effect of professional networks. A one standard deviation improvement to a firm's professional network …
Persistent link: https://www.econbiz.de/10011451507
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High Performance in Complex Spatial Systems: A Self-Organizing Mapping Approach with Reference to The Netherlands
Kourtit, Karima; Arribas-Bel, Daniel; Nijkamp, Peter - 2013
detailed regional facilitating and driving factors related, inter alia, to talent, innovation, skills, networks, accessibility …
Persistent link: https://www.econbiz.de/10010328344
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Product Differentiation on Roads: Second-Best Congestion Pricing with Heterogeneity under Public and Private Ownership
Verhoef, Erik T.; Small, Kenneth A. - 1999
We explore the properties of various types of public and private pricing on acongested road network with heterogeneous users and allowing for elasticdemand. Heterogeneity is represented by a continuum of values of time. Thenetwork consists of both serial and parallel links, which allows us to...
Persistent link: https://www.econbiz.de/10010324676