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Now-casting and the real-time data flow
Banbura, Marta; Giannone, Domenico; Modugno, Michele; … - C.E.P.R. Discussion Papers - 2012
The term now-casting is a contraction for now and forecasting and has been used for a long-time in meteorology and recently also in economics In this paper we survey recent developments on economic now-casting with special focus on those models that formalize key features of how market...
Persistent link: https://www.econbiz.de/10011084671
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On the Estimation of Term Structure Models and An Application to the United States
International Monetary Fund (IMF); International … - 2010
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term …
Persistent link: https://www.econbiz.de/10008727797
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IInflation and Globalisation: A Dynamic Factor Model with Stochastic Volatility
Byrne, Joseph P.; Kaneez, Fatima; Kontonikas, Alexandros - Scottish Institute for Research in Economics (SIRE) - 2010
utilising a dynamic factor model with stochastic volatility to account for shifts in the variance of inflation and endogenously …
Persistent link: https://www.econbiz.de/10010553681
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Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model
Hautsch, Nikolaus; Yang, Fuyu - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing … also the highest persistence. It turns out that the inclusion of stochastic volatility improves the model's goodness …
Persistent link: https://www.econbiz.de/10008496955
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Inflation and Globalisation: A Dynamic Factor Model with Stochastic Volatility
Byrne, Joseph P.; Kaneez, Fatima; Kontonikas, Alexandros - Department of Economics, Adam Smith Business School - 2010
utilising a dynamic factor model with stochastic volatility to account for shifts in the variance of inflation and endogenously …
Persistent link: https://www.econbiz.de/10008478963
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Bayesian inference in a Stochastic Volatility Nelson–Siegel model
Hautsch, Nikolaus; Yang, Fuyu - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3774-3792
risk. The so-called Stochastic Volatility Nelson–Siegel (SVNS) model allows for stochastic volatility in the underlying …-varying volatility in the yield factors is found. The inclusion of stochastic volatility improves the model’s goodness-of-fit and clearly … reduces the forecasting uncertainty, particularly in low-volatility periods. The proposed approach is shown to work …
Persistent link: https://www.econbiz.de/10010617654
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Does realized volatility help bond yield density prediction?
Shin, Minchul; Zhong, Molin - Department of Economics, University of Pennsylvania - 2013
This paper examines the importance of realized volatility in bond yield density prediction. We incorporate realized … volatility into a Dynamic Nelson-Siegel (DNS) model with stochastic volatility and evaluate its predictive performance on US bond … yield data. When compared to popular specifications in the DNS literature without realized volatility, we find that having …
Persistent link: https://www.econbiz.de/10010822928
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The dynamics of European financial market integration
EVERAERT, G.; POZZI, L. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2014
We investigate financial market integration in Europe with a panel of 16 European and 4 non- European countries over …
Persistent link: https://www.econbiz.de/10011083090
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A Real Economic Activity Indicator for Turkey
Aruoba, S. Boragan; Sarikaya, Cagri - In: Central Bank Review 13 (2013) 1, pp. 15-29
This paper presents a monthly indicator of real economic activity for historical accounting and real-time monitoring of business cycles in Turkey. Business conditions, an unobserved component implied by the interaction and co-movement of various macroeconomic variables, are related to a number...
Persistent link: https://www.econbiz.de/10010941551
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Real-Time Measurement of Business Conditions
Aruoba, S. Boragan; Diebold, Francis X.; Scotti, Chiara - Department of Economics, University of Pennsylvania - 2007
We construct a framework for measuring economic activity in real time (e.g., minute-by-minute), using a variety of stock and flow data observed at mixed frequencies. Specifically, we propose a dynamic factor model that permits exact filtering, and we explore the efficacy of our methods both in a...
Persistent link: https://www.econbiz.de/10005126701