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Dynamic factor models

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Dynamic factor models/ edited by Eric Hillebrand, Siem Jan Koopman.
其他作者:	Hillebrand, Eric.
出版者:	Bingley, U.K. :Emerald Group Publishing, : 2016.,
面頁冊數:	1 online resource (410 p.) :ill.
內容註:	An overview of the factor-augmented error-correction model / Anindya Banerjee, Massimiliano Marcellino, Igor Masten -- Estimation of VAR systems from mixed-frequency data : the stock and the flow case / Lukas Koelbl ... [et al.] -- Modeling yields at the zero lower bound : are shadow rates the solution? / Jens H.E. Christensen, Glenn D. Rudebusch -- Dynamic factor models for the volatility surface / Michel van der Wel, Sait R. Ozturk, Dick van Dijk -- Analyzing international business and nancial cycles using multi-level factor models : a comparison of alternative approaches / Jorg Breitung, Sandra Eickmeier -- Fast ML estimation of dynamic bifactor models : an application to European inflation / Gabriele Fiorentini, Alessandro Galesi, Enrique Sentana -- Country shocks, monetary policy expectations and ECB decisions. A dynamic non-linear approach / Maximo Camacho, Danilo Leiva-Leon, Gabriel Perez-Quiros -- Modelling financial markets comovements during crises : a dynamic multi-factor approach / Martin Belvisi, Riccardo Pianeti, Giovanni Urga -- Specification and estimation of Bayesian dynamic factor models : a Monte Carlo analysis with an application to global house price comovement / Laura E. Jackson ... [et al.] -- Small versus big-data factor extraction in dynamic factor models : an empirical assessment / Pilar Poncela, Esther Ruizy -- Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation / Laurent Callot, Johannes Tang Kristensen -- Dating business cycle turning points for the French economy : an MS-DFM approach / Catherine Doz, Anna Petronevich -- Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation / Davide Delle Monache, Ivan Petrella, Fabrizio Venditti -- Nowcasting business cycles : a Bayesian approach to dynamic heterogeneous factor models / Antonello D'Agostino ... [et al.] -- On the selection of common factors for macroeconomic forecasting / Alessandro Giovannelli, Tommaso Proietti -- On the design of data sets for forecasting with dynamic factor models / Gerhard Runstler.
標題:	Macroeconomics. -
電子資源:	http://www.emeraldinsight.com/doi/book/10.1108/S0731-9053201635
ISBN:	9781785603525 (electronic bk.)

Dynamic factor models
Dynamic factor models[electronic resource] /edited by Eric Hillebrand, Siem Jan Koopman. - 1st ed. - Bingley, U.K. :Emerald Group Publishing,2016. - 1 online resource (410 p.) :ill. - Advances in econometrics,v. 350731-9053 ;. - Advances in econometrics ;v. 35..

An overview of the factor-augmented error-correction model / Anindya Banerjee, Massimiliano Marcellino, Igor Masten -- Estimation of VAR systems from mixed-frequency data : the stock and the flow case / Lukas Koelbl ... [et al.] -- Modeling yields at the zero lower bound : are shadow rates the solution? / Jens H.E. Christensen, Glenn D. Rudebusch -- Dynamic factor models for the volatility surface / Michel van der Wel, Sait R. Ozturk, Dick van Dijk -- Analyzing international business and nancial cycles using multi-level factor models : a comparison of alternative approaches / Jo<U+0308>rg Breitung, Sandra Eickmeier -- Fast ML estimation of dynamic bifactor models : an application to European inflation / Gabriele Fiorentini, Alessandro Galesi, Enrique Sentana -- Country shocks, monetary policy expectations and ECB decisions. A dynamic non-linear approach / Maximo Camacho, Danilo Leiva-Leon, Gabriel Perez-Quiros -- Modelling financial markets comovements during crises : a dynamic multi-factor approach / Martin Belvisi, Riccardo Pianeti, Giovanni Urga -- Specification and estimation of Bayesian dynamic factor models : a Monte Carlo analysis with an application to global house price comovement / Laura E. Jackson ... [et al.] -- Small versus big-data factor extraction in dynamic factor models : an empirical assessment / Pilar Poncela, Esther Ruizy -- Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation / Laurent Callot, Johannes Tang Kristensen -- Dating business cycle turning points for the French economy : an MS-DFM approach / Catherine Doz, Anna Petronevich -- Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation / Davide Delle Monache, Ivan Petrella, Fabrizio Venditti -- Nowcasting business cycles : a Bayesian approach to dynamic heterogeneous factor models / Antonello D'Agostino ... [et al.] -- On the selection of common factors for macroeconomic forecasting / Alessandro Giovannelli, Tommaso Proietti -- On the design of data sets for forecasting with dynamic factor models / Gerhard Runstler.

Dynamic factor models (DFM) constitute an active and growing area of research, both in econometrics, in macroeconomics, and in finance. Many applications lie at the center of policy questions raised by the recent financial crises, such as the connections between yields on government debt, credit risk, inflation, and economic growth. This volume collects a key selection of up-to-date contributions that cover a wide range of issues in the context of dynamic factor modeling, such as specification, estimation, and application of DFMs. Examples include further developments in DFM for mixed-frequency data settings, extensions to time-varying parameters and structural breaks, for multi-level factors associated with subsets of variables, in factor augmented error correction models, and in many other related aspects. A number of contributions propose new estimation procedures for DFM, such as spectral expectation-maximization algorithms and Bayesian approaches. Numerous applications are discussed, including the dating of business cycles, implied volatility surfaces, professional forecaster survey data, and many more.

ISBN: 9781785603525 (electronic bk.)Subjects--Topical Terms:

648810
Macroeconomics.

LC Class. No.: HB172.5 / .D96 2016

Dewey Class. No.: 339

Dynamic factor models
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520 $a Dynamic factor models (DFM) constitute an active and growing area of research, both in econometrics, in macroeconomics, and in finance. Many applications lie at the center of policy questions raised by the recent financial crises, such as the connections between yields on government debt, credit risk, inflation, and economic growth. This volume collects a key selection of up-to-date contributions that cover a wide range of issues in the context of dynamic factor modeling, such as specification, estimation, and application of DFMs. Examples include further developments in DFM for mixed-frequency data settings, extensions to time-varying parameters and structural breaks, for multi-level factors associated with subsets of variables, in factor augmented error correction models, and in many other related aspects. A number of contributions propose new estimation procedures for DFM, such as spectral expectation-maximization algorithms and Bayesian approaches. Numerous applications are discussed, including the dating of business cycles, implied volatility surfaces, professional forecaster survey data, and many more.
588 $a Description based on print version record.
650 0 $a Macroeconomics. $3 648810
650 0 $a Macroeconomics $x Econometric models. $3 674488
700 1 $a Hillebrand, Eric. $3 3235025
700 1 $a Koopman, S. J. $q (Siem Jan) $3 741770
830 0 $a Advances in econometrics ; $v v. 35. $3 3235026
856 4 0 $u http://www.emeraldinsight.com/doi/book/10.1108/S0731-9053201635