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Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10009720703

Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model

Delle Monache, Davide - 2020

estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship …

Persistent link: https://www.econbiz.de/10012842441

Some variables are more worthy than others : new diffusion index evidence on the monitoring of key economic indicators

Armah, Nii Ayi; Swanson, Norman R. - 2011

; factor ; federal reserve bank ; forecast ; macroeconometrics ; monetary policy ; parameter estimation error ; proxy …

Persistent link: https://www.econbiz.de/10009130538

Seeing inside the black box : using diffusion index methodology to construct factor proxies in largescale macroeconomic time series environments

Armah, Nii Ayi; Swanson, Norman R. - 2011 - Rev.

production; and exchange rates. -- diffusion index ; factor ; forecast ; macroeconometrics ; parameter estimation error ; proxy …

Persistent link: https://www.econbiz.de/10009130733

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

Persistent link: https://www.econbiz.de/10008797745

Factor structural time series models for official statistics with an application to hours worked in Germany

Weigand, Roland; Wanger, Susanne; Zapf, Ines - 2015

factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step …, statistical breaks, different sampling frequencies and irregular observation patterns, and describe their statistical treatment …. The methods are applied to the estimation of paid and unpaid overtime work as well as flows on working-time accounts in …

Persistent link: https://www.econbiz.de/10011309972

Large Mixed-Frequency Vars with a Parsimonious Time-Varying Parameter Structure

Götz, Thomas - 2019

To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...

Persistent link: https://www.econbiz.de/10012897924

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

News shocks : different effects in boom and recession?

Bolboaca, Maria; Fischer, Sarah - 2019 - This version: February, 2019

This paper investigates the nonlinearity in the effects of news shocks about technological innovations. In a maximally flexible logistic smooth transition vector autoregressive model, state-dependent effects of news shocks are identified based on medium-run restrictions. We propose a novel...

Persistent link: https://www.econbiz.de/10011967392

Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - 2018

Persistent link: https://www.econbiz.de/10011903709