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Common and country speci c factors in the distribution of real wages
Chatzivgeri, Eleni; Mumtazy, Haroon; Tavasciz, Daniela; … - 2018
We use a dynamic factor model to consider if real wage growth in the US, UK and Germany at different percentiles of the distribution can be explained by factors that are common across countries or specific to each country. Our results suggest that common factors explain a large proportion of the...
Persistent link: https://www.econbiz.de/10011895003
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Wage led aggregate demand in the United Kingdom
Jump, Robert; Mendieta-Muñoz, Ivan - In: International review of applied economics 31 (2017) 5, pp. 565-584
Persistent link: https://www.econbiz.de/10011797295
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Decomposing household, professional and market forecasts on inflation : a dynamic factor model analysis
Palardy, Joseph; Ovaska, Tomi - In: Applied economics 47 (2015) 19/21, pp. 2092-2101
Persistent link: https://www.econbiz.de/10010513341
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Forecasting with mixed-frequency factor models in the presence of common trends
Fuleky, Peter; Bonham, Carl Stanley - In: Macroeconomic dynamics 19 (2015) 4, pp. 753-775
Persistent link: https://www.econbiz.de/10011309214
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Macroeconomic variables and default risk : an application of the FAVAR model
Guo, Liang; Bruneau, Catherine - In: Revue d'économie politique 124 (2014) 5, pp. 817-857
Persistent link: https://www.econbiz.de/10010492060
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Observation driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, … - 2011
simulation, thus enabling straightforward parameter estimation by standard maximum likelihood. We use the new mixed …
Persistent link: https://www.econbiz.de/10011383248
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Arbitrage-free Nelson-Siegel model for multiple yield curves
Brignone, Riccardo; Gerhart, Christoph; … - In: Mathematics and financial economics 16 (2022) 2, pp. 239-266
Persistent link: https://www.econbiz.de/10013167786
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A latent factor model for forecasting realized variances
Calzolari, Giorgio; Halbleib, Roxana; Zagidullina, Aygul - In: Journal of financial econometrics 19 (2021) 5, pp. 860-909
Persistent link: https://www.econbiz.de/10012799052
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The factor structure of disagreement
Herbst, Edward P.; Winkler, Fabian - 2021
Persistent link: https://www.econbiz.de/10012609412
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Daily news sentiment and monthly surveys : a mixed-frequencydynamic factor model for nowcasting consumer confidence
Algaba, Andres; Borms, Samuel; Boudt, Kris; Verbeken, Brecht - 2021
model framework uses a novel covariance matrix specification. Model estimation and real-time filtering of the latent …
Persistent link: https://www.econbiz.de/10012437743