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Forecasting with approximate dynamic factor models : the role of non-pervasive shocks

Luciani, Matteo - In: International journal of forecasting 30 (2013) 1, pp. 20-29

Persistent link: https://www.econbiz.de/10010243647

Nowcasting Indonesia

Luciani, Matteo; Pundit, Madhavi; Ramayandi, Arief; … - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 597-619

Persistent link: https://www.econbiz.de/10011949854

Forecasting with approximate dynamic factor models: The role of non-pervasive shocks

Luciani, Matteo - In: International Journal of Forecasting 30 (2014) 1, pp. 20-29

This paper studies the role of non-pervasive shocks when forecasting with factor models. To this end, we first introduce a new model that incorporates the effects of non-pervasive shocks, an Approximate Dynamic Factor Model with a sparse model for the idiosyncratic component. Then, we test the...

Persistent link: https://www.econbiz.de/10010730024

Lessons from nowcasting GDP across the world

Cascaldi-Garcia, Danilo; Luciani, Matteo; Modugno, Michele - 2023

Persistent link: https://www.econbiz.de/10014464305

Generalized dynamic factor models and volatilities : recovering the market volatility shocks

Barigozzi, Matteo; Hallin, Marc - In: The econometrics journal 19 (2016) 1, pp. 33-60

Persistent link: https://www.econbiz.de/10011487491

Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals

Barigozzi, Matteo; Hallin, Marc - In: Journal of econometrics 216 (2020) 1, pp. 4-34

Persistent link: https://www.econbiz.de/10012439634

Identification of global and local shocks in international financial markets via general dynamic factor models

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - In: Journal of financial econometrics 17 (2019) 3, pp. 462-494

Persistent link: https://www.econbiz.de/10012054816

Time-varying general dynamic factor models and the measurement of financial connectedness

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019

Persistent link: https://www.econbiz.de/10012064799

Generalized dynamic factor models and volatilities : estimation and forecasting

Barigozzi, Matteo; Hallin, Marc - In: Journal of econometrics 201 (2017) 2, pp. 307-321

Persistent link: https://www.econbiz.de/10011920497

Time-varying general dynamic factor models and the measurement of financial connectedness

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019

Persistent link: https://www.econbiz.de/10012183847

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