We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor loadings. We further present a statistical procedure based on Wald tests that can be used to find a...

This paper concerns estimating parameters in a high-dimensional dynamic factor model by the method of maximum likelihood. To accommodate missing data in the analysis, we propose a new model representation for the dynamic factor model. It allows the Kalman filter and related smoothing methods to...

We investigate the added value of combining density forecasts for asset return prediction in a specific region of support. We develop a new technique that takes into account model uncertainty by assigning weights to individual predictive densities using a scoring rule based on the censored...

We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous-time conveniently accounts for the difference in observation...

We provide a detailed discussion of the time series modelling of daily tax revenues. The mainfeature of daily tax revenue series is the pattern within calendar months. Standard seasonal timeseries techniques cannot be used since the number of banking days per calendar month varies andbecause...