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Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators

Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256

Persistent link: https://www.econbiz.de/10011549916

Forecasting inflation in Tunisia during instability using dynamic factors model : a two-step based procedure based on Kalman filter

Ammouri, Bilel; Toumi, Hassen; Issaoui, Fakhri; … - In: International journal of computational economics and … 9 (2019) 1/2, pp. 49-83

Persistent link: https://www.econbiz.de/10012021571

Real-time forecasting using mixed-frequency VARs with time-varying parameters

Heinrich, Markus; Reif, Magnus - 2020

relative to expert forecasts and show that the MFTVP- SV-VAR delivers better inflation nowcasts in this regard. Using an …

Persistent link: https://www.econbiz.de/10012154665

Estimation of favar models for incomplete data with a Kalman Filter for factors with observable components

Ramsauer, Franz; Min, Aleksey; Lingauer, Michael - In: Econometrics : open access journal 7 (2019) 3/31, pp. 1-43

This article extends the Factor-Augmented Vector Autoregression Model (FAVAR) to mixed-frequency and incomplete panel data. Within the scope of a fully parametric two-step approach, the alternating application of two expectation-maximization algorithms jointly estimates model parameters and...

Persistent link: https://www.econbiz.de/10012161533