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Estimation of Economic Growth in France Using Business Survey Data
Kabundi, Alain N. - International Monetary Fund (IMF) - 2004
This paper proposes a new way of computing a coincident indicator for economic activity in France using data from business surveys. We use the generalized dynamic factor model à la Forni and others (2000) to extract common components from a large number of survey observations. The results...
Persistent link: https://www.econbiz.de/10005605434
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Cycles inside cycles: Spanish regional aggregation
Gadea, Maria; Gómez-Loscos, Ana; Montañés, Antonio - In: SERIEs 3 (2012) 4, pp. 423-456
This paper sets out a comprehensive framework to identify regional business cycles within Spain and analyses their stylised features and the degree of synchronisation both within them and between them and the Spanish economy. We show that the regional cycles are quite heterogeneous although they...
Persistent link: https://www.econbiz.de/10010994611
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Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors
Detotto, C.; Otranto, E. - Centro Ricerche Nord Sud (CRENoS) - 2010
In the last decades, the interest in the relationship between crime and business cycle has widely increased. It is a diffused opinion that a causal relationship goes from economic variables to criminal activities. This work aims to verify this proposition by using the dynamic factor model to...
Persistent link: https://www.econbiz.de/10008727715
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Cycles in Crime and Economy Revised
Detotto, C.; Otranto, E. - Centro Ricerche Nord Sud (CRENoS) - 2011
In the last decades, the interest in the relationship between crime and business cy- cle has widely increased. It is a diffused opinion that a causal relationship goes from economic variables to criminal activities, but this causal effect is observed only for some typology of crimes, such as...
Persistent link: https://www.econbiz.de/10009019479
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Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area?
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002
The Paper uses a large data set, consisting of 447 monthly macroeconomic time series concerning the main countries of the Euro area to simulate out-of-sample predictions of the Euro area industrial production and the harmonized inflation index and to evaluate the role of financial variables in...
Persistent link: https://www.econbiz.de/10005789173
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Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks
Hallin, Marc; Barigozzi, Matteo - European Centre for Advanced Research in Economics and … - 2014
Persistent link: https://www.econbiz.de/10010961592
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Optimal portfolio allocation strategies with dynamic factor models
Thomaidis, Nikos S.; Roumpis, Efthimios; Kondakis, Nick - In: International Journal of Financial Markets and Derivatives 1 (2010) 4, pp. 352-370
models and multivariate volatility parametrisations. We attempt to elaborate on the fundamental structure of the Fama and … French (FF) factor model with a special focus on the time variation in risk and correlation between stocks returns and … the framework of Markowitz's mean-variance portfolio theory. We outline and compare the out-of-sample performance of these …
Persistent link: https://www.econbiz.de/10008755235
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The Wishart Autoregressive Process of Multivariate Stochastic Volatility
Jasiak, Joan; Sufana, R.; Gourieroux, C. - Department of Economics, York University - 2005
proposed in this paper as a dynamic model for stochastic volatility matrices. It yields simple nonlinear forecasts at any … the past. For illustration, the WAR is applied to a sequence of intraday realized volatility covolatility matrices. …
Persistent link: https://www.econbiz.de/10005357414
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Fundamental Uncertainties and Firm-level Stock Volatilities
Yu, Yang - Society for Computational Economics - SCE - 2005
Firm-level stock volatility has increased significantly since 1962 and varies widely across industries. Recent … literature shows that the excessive and persistent stock volatility can be well explained by fundamental uncertainties. This … idiosyncratic stock volatility. The results from the panel data analyses suggest that R&D intensive firms or firms in high …
Persistent link: https://www.econbiz.de/10005706316
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Dynamic factor models: A review of the literature
Barhoumi, Karim; Darné, Olivier; Ferrara, Laurent - In: OECD Journal: Journal of Business Cycle Measurement and … 2013 (2013) 2, pp. 73-107
parameter estimation methods and statistical tests available for choosing the number of factors. We then focus on recent …
Persistent link: https://www.econbiz.de/10010903580