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Forecasting Industry Sector Default Rates through Dynamic Factor Models
Missaglia, Giuseppe - 2009
In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic Factor model, DF, to a large dataset of default rates proxies and macrovariables for Italy. Multi step ahead density and probability forecasts are obtained by employing both...
Persistent link: https://www.econbiz.de/10013159689
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Forecasting Industry Sector Default Rates through Dynamic Factor Models
Missaglia, Giuseppe - 2009
In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic Factor model, DF, to a large dataset of default rates proxies and macrovariables for Italy. Multi step ahead density and probability forecasts are obtained by employing both...
Persistent link: https://www.econbiz.de/10013159697
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Modellierung von mehrjährigen Kreditausfallrisiken
Jobst, Rainer - 2008
Persistent link: https://www.econbiz.de/10003635736
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Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009
direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …
Persistent link: https://www.econbiz.de/10003807908
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Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009
Persistent link: https://www.econbiz.de/10003851191
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Variable selection, estimation and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2010
Persistent link: https://www.econbiz.de/10003978514
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Factor-based forecasting in the presende of outliers : are factors better selected and estimated by the median than by the mean?
Kristensen, Johannes Tang - 2012
Persistent link: https://www.econbiz.de/10009546012
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Tests of equal accuracy for nested models with estimated factors
Gonçalves, Sílvia; McCracken, Michael W.; Perron, Benoit - 2015
Persistent link: https://www.econbiz.de/10011392844
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Is more still better? : revisiting the sixth district coincident indicator
Silos, Pedro; Vilán, Diego - 2009
version of the D6 Factor that improves upon the original model in several ways. While the original D6 based its estimation on … estimation period by a decade. These changes provide the updated model with substantially more information while reducing the … noise in the estimation. -- coincident index ; dynamic factor model …
Persistent link: https://www.econbiz.de/10009419466
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In-sample inference and forecasting in misspecified factor models
Carrasco, Marine; Rossi, Barbara - 2016
Persistent link: https://www.econbiz.de/10011524318