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Forecasting GDP over the business cycle in a multi-frequency and data-rich environment

Bessec, Marie; Bouabdallah, Othman - In: Oxford bulletin of economics and statistics 77 (2015) 3, pp. 360-384

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Multifaktormodelle zur Erklärung deutscher Aktienrenditen : eine empirische Analyse

Ziegler, Andreas (contributor) - 2003

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A stochastic variance factor model for large datasets and an application to S&P data

Cipollini, Andrea (contributor); … - 2004 - [Elektronische Ressource]

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Movements in the term structure of interest rates

Bliss, Robert R. - In: Economic review 82 (1997) 4, pp. 16-33

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An EM algorithm for conditionally heteroscedastic factor models

Dēmos, Antōnēs A. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 3, pp. 357-361

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A semiparametric factor model of interest rates and tests of the affine term structure

Ghysels, Eric - In: The review of economics and statistics 80 (1998) 4, pp. 535-548

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Markov switching in disaggregate unemployment rates

Chauvet, Marcelle; Juhn, Chinhui; Potter, Simon M. - In: Empirical economics : a journal of the Institute for … 27 (2002) 2, pp. 205-232

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Markov switching in disaggregate unemployment rates

Chauvet, Marcelle (contributor); Juhn, Chinhui (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001590063

Dynamic Factor Models with Macro, Frailty and Industry Effects for US Default Counts : The Credit Crisis of 2008

Koopman, Siem Jan - 2012

We develop a high-dimensional and partly nonlinear non-Gaussian dynamic factor model for the decomposition of systematic default risk conditions into a set of latent components that correspond with macroeconomic/financial, default-specific (frailty), and industry-specific effects. Discrete...

Persistent link: https://www.econbiz.de/10013102101

Essays in empirical asset pricing and investments

Zimmermann, Lukas - 2020

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