This paper addresses the poor performance of the Expectation-Maximization (EM) algorithm in the estimation of low-noise dynamic factor models, commonly used in macroeconomic forecasting and nowcasting. We show analytically and in Monte Carlo simulations how the EM algorithm stagnates in a...

Quarterly GDP figures usually are published with a delay of some weeks. A common way to generate GDP series of higher frequency, i.e. to nowcast GDP, is to use available indicators to calculate a single index by means of a common factor derived from a dynamic factor model (DFM). This paper deals...

This study developed an investment framework to implement dynamic factor rotation strategies according to changes in economic conditions. I constructed a useful macro indicator that tracked real-time business cycles of the US economy and applied a trend-filtering method to the indicator to...

This paper presents a dynamic model averaging approach for forecasting nominal exchange rates, which is a novel approach in exchange rate forecasting literature. This framework encompasses most of the approaches commonly used in the forecasting literature. We focus on nine major trading currency...

This paper presents a dynamic model averaging approach for forecasting nominal exchange rates, which is a novel approach in exchange rate forecasting literature. This framework encompasses most of the approaches commonly used in the forecasting literature. We focus on nine major trading currency...