This study introduces a monthly coincident indicator for consumption in Germany based on Google Trends data on web search activity. In real-time nowcasting experiments the indicator outperforms common survey-based indicators in predicting consumption. Unlike those indicators, it provides...

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...

The thesis proposes to assess the risk topic in the context of foreign investment decisions. In identifying two main risk-related concepts, I have split risks in two categories using a unique criterion: the ratio between the endogenous and exogenous content of the problem. According to it, I...

We study the workings of the factor analysis of high-dimensional data using arti?cial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allow us to shed some light on the practical bene?ts...

We study the workings of the factor analysis of high-dimensional data using arti…cial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allow us to shed some light on the practical...

This article proposes a modified method for the construction of diffusion indexes in macroeconomic forecasting using principal component regres- sion. The method aims to maximize the amount of variance of the origi- nal predictor variables retained by the diffusion indexes, by matching the data...

The aim of this thesis is to model the dynamics of international term structure of interest rates taking into consideration several dependence channels.Thanks to a new international Treasury yield curve database, we observe that the explained variability decision criterion, suggested by the...

We study the workings of the factor analysis of high-dimensional data using artificial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allows us to shed some light on the practical...