The aim of this study is to construct monthly coincident and leading composite indicators for the shipping industry in Korea. The coincident and the leading indicators are computed using the generalized dynamic factor model. We use the production index of the water transport industry as the...

This paper sums up the results of an ongoing research on the construction of indexes for Colombian economic activity and the characteristics of the business cycle. The author uses the statistical framework known as the generalized dynamic factor model (Forni, Lippi, Hallin, Reichlin, 2000) to...

Monetary aggregates continue to play an important role in the ECB's policy strategy. This paper revisits the case for money, surveying the ongoing theoretical and empirical debate. The key conclusion is that an exclusive focus on non-monetary factors alone may leave the ECB with an incomplete...

This study proposes a novel framework which combines marginal probabilities of default estimated from a structural credit risk model with the consistent information multivariate density optimization (CIMDO) methodology of Segoviano, and the generalized dynamic factor model (GDFM) supplemented by...

The estimation of banks? marginal probabilities of default using structural credit risk models can be enriched incorporating macro-financial variables readily available to economic agents. By combining Delianedis and Geske?s model with a Generalized Dynamic Factor Model into a dynamic t-copula...

This study proposes a novel framework which combines marginal probabilities of default estimated from a structural credit risk model with the consistent information multivariate density optimization (CIMDO) methodology and the generalized dynamic factor model (GDFM) supplemented by a dynamic...

This study applies to investment funds a novel framework which combines marginal probabilities of distress estimated from a structural credit risk model with the consistent information multivariate density optimization (CIMDO) methodology and the generalized dynamic factor model (GDFM). The...