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Displaying results 1 to 25 of 36.

  1. L' effet du CICE sur les prix
    une double analyse sur données sectorielles et individuelles
    Author: Monin, Rémi; Suarez Castillo, Milena
    Published: [2018]
    Publisher:  INSEE, Institut national de la statistique et des études économiques, Malakoff

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    Language: French
    Media type: Book
    Format: Online
    Series: Document de travail / Direction des études et synthèses économiques ; G 2018, 03
    Subjects: factor models; production prices; tax credit; prices pass-through
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  2. Short term forecasts of economic activity
    are fortnightly factors useful?
    Author: Monteforte, Libero; Raponi, Valentina
    Published: [2018]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    Language: English
    Media type: Book
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    Series: Temi di discussione / Banca d'Italia ; number 1177 (June 2018)
    Subjects: factor models; Kalman filter; temporal disaggregation; mixed frequency data; forecasting
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  3. A generalized factor model with local factors
    Author: Freyaldenhoven, Simon
    Published: April 2019
    Publisher:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

    I extend the theory on factor models by incorporating local factors into the model. Local factors only affect an unknown subset of the observed variables. This implies a continuum of eigenvalues of the covariance matrix, as is commonly observed in... more

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    I extend the theory on factor models by incorporating local factors into the model. Local factors only affect an unknown subset of the observed variables. This implies a continuum of eigenvalues of the covariance matrix, as is commonly observed in applications. I derive which factors are pervasive enough to be economically important and which factors are pervasive enough to be estimable using the common principal component estimator. I then introduce a new class of estimators to determine the number of those relevant factors. Unlike existing estimators, my estimators use not only the eigenvalues of the covariance matrix, but also its eigenvectors. I find strong evidence of local factors in a large panel of US macroeconomic indicators

     
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    Language: English
    Media type: Book
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    Series: Working paper / Research Department, Federal Reserve Bank of Philadelphia ; 19, 23 (April 2019)
    FRB of Philadelphia Working Paper ; No. 19-23
    Subjects: high-dimensional data; factor models; weak factors; local factors; sparsity
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  4. Improved inference in financial factor models
    Author: Beck, Elliot; De Nard, Gianluca; Wolf, Michael
    Published: March 2023
    Publisher:  University of Zurich, Department of Economics, Zurich

    Conditional heteroskedasticity of the error terms is a common occurrence in financial factor models, such as the CAPM and Fama-French factor models. This feature necessitates the use of heteroskedasticity consistent (HC) standard errors to make valid... more

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    Conditional heteroskedasticity of the error terms is a common occurrence in financial factor models, such as the CAPM and Fama-French factor models. This feature necessitates the use of heteroskedasticity consistent (HC) standard errors to make valid inference for regression coefficients. In this paper, we show that using weighted least squares (WLS) or adaptive least squares (ALS) to estimate model parameters generally leads to smaller HC standard errors compared to ordinary least squares (OLS), which translates into improved inference in the form of shorter confidence intervals and more powerful hypothesis tests. In an extensive empirical analysis based on historical stock returns and commonly used factors, we find that conditional heteroskedasticity is pronounced and that WLS and ALS can dramatically shorten confidence intervals compared to OLS, especially during times of financial turmoil.

     
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    Series: Working paper series / University of Zurich, Department of Economics ; no. 430
    Subjects: CAPM; conditional heteroskedasticity; factor models; HC standard errors
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  5. Estimation of large volatility matrices with low-rank signal plus sparse noise structures
    Author: Dai, Runyu; Matsuda, Yasumasa
    Published: [2023]
    Publisher:  Center for Data Science and Service Research, Graduate School of Economic and Management, Tohoku University, Sendai, Japan

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    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10097/00137340
    Series: Data science and service research discussion paper ; no. 135
    Subjects: Volatility matrix; multivariate GARCH; factor models; thresholding; high-dimensional data; ePOET
    Scope: 1 Online-Ressource (circa 24 Seiten)
  6. Forecasting economic activity using preselected predictors
    the case of Cyprus
    Author: Anaxagorou, Christiana; Pashourtidou, Nicoletta
    Published: [2021]
    Publisher:  University of Cyprus, Economics Research Centre, [Nicosia]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Economic policy papers ; no. 21, 07 (December 2021)
    Subjects: Forecasting; factor models; predictor selection
    Scope: 1 Online-Ressource (circa 34 Seiten)
  7. Various core inflation estimates for Kazakhstan
    Author: Orlov, Konstantin; Sejdahmetov, Aņsar
    Published: [2023]
    Publisher:  National Bank of the Republic of Kazakhstan, [Astana]

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    Series: Array ; no. 2023, 2
    Subjects: inflation; core (trend) inflation; factor models; state space models
    Scope: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  8. Is infrastructure capital really productive?
    non-parametric modeling and data-driven model selection in a crosssectionally dependent panel framework
    Author: Musolesi, Antonio; Prete, Giada Andrea; Simioni, Michel
    Published: May 2022
    Publisher:  [Toulouse School of Economics], [Toulouse]

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    Series: Working papers / Toulouse School of Economics ; no 1335
    Subjects: Cross-sectional dependence; factor models; moving block bootstrap; non-parametric regression; spline functions; public capital hypothesis
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  9. Nowcasting GDP using machine learning methods
    Author: Kant, Dennis; Pick, Andreas; Winter, Jasper de
    Published: [2022]
    Publisher:  De Nederlandsche Bank NV, Amsterdam, The Netherlands

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    Series: DNB working paper ; no. 754 (November 2022)
    Subjects: factor models; forecasting competition; machine learningmethods; nowcasting
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  10. Dynamic factor models: a genealogy
    Author: Barigozzi, Matteo; Hallin, Marc
    Published: October 2023
    Publisher:  ECARES, Brussels, Belgium

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/364359
    Series: ECARES working paper ; 2023, 15
    Subjects: High-dimensional time series; factor models; panel data; forecasting
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  11. The cumulant risk premium
    Author: Kyle, Albert S.; Todorov, Karamfil
    Published: October 2023
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Language: English
    Media type: Book
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    Series: BIS working papers ; no 1128
    Subjects: Cumulants; leverage; ETF; factor models; VIX; momentum; options
    Scope: 1 Online-Ressource (circa 73 Seiten), Illustrationen
  12. Interest rate pass-through in the major European economies
    the role of expectations
    Author: Banerjee, Anindya; Bystrov, Victor; Mizen, Paul
    Published: 2010
    Publisher:  Dep. of Economics, Univ. of Birmingham, Birmingham

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Series: Discussion papers / Department of Economics, The University of Birmingham ; 10-07
    Subjects: forecasting; factor models; interest rate pass-through
    Scope: Online-Ressource (PDF-Datei: 50 S.), graph. Darst.
  13. The role of survey data in nowcasting euro area GDP growth
    Author: Gayer, Christian; Girardi, Alessandro; Reuter, Andreas
    Published: 2014
    Publisher:  Europ. Comm., Directorate-General for Economic and Financial Affairs, Brussels

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    Media type: Ebook
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    ISBN: 9789279351877
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    Series: Array ; 538
    Subjects: Qualitative; real and financial data; business and consumer surveys; euro area; macroeconomic forecasting; blocking approach; factor models; financial crisis
    Scope: Online-Ressource (PDF-Datei; 40 S., 432 KB)
  14. The local effects of an innovation
    evidence from the French fish market
    Author: Gobillon, Laurent; Wolff, François-Charles
    Published: [2017]
    Publisher:  Paris-Jourdan Sciences Economiques, Paris

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    Series: Working paper / Paris School of Economics ; no 2017, 01
    Subjects: fish; innovation; product quality; product prices; discontinuity; difference in differences; synthetic controls; factor models
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  15. High dimensional factor models with an application to mutual fund characteristics
    Author: Lettau, Martin
    Published: 07 March 2022
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Series: Discussion paper series / Centre for Economic Policy Research ; DP17091$p
    Subjects: Tucker decomposition; CP decomposition; tensors; PCA; SVD; factor models; Mutualfunds; Characteristics
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  16. Lifecycle wages and human capital investments
    selection and missing data
    Author: Gobillon, Laurent; Magnac, Thierry; Roux, Sébastien
    Published: 03 February 2022
    Publisher:  Centre for Economic Policy Research, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP16999
    Subjects: Human capital investment; Wage Inequalities; factor models; Missing Data
    Scope: 1 Online-Ressource (circa 96 Seiten), Illustrationen
  17. Lifecycle wages and human capital investments
    selection and missing data
    Author: Gobillon, Laurent; Magnac, Thierry; Roux, Sébastien
    Published: February 2022
    Publisher:  [Toulouse School of Economics], [Toulouse]

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    Edition: This version: February 2, 2022
    Series: Working papers / Toulouse School of Economics ; no 1299
    Subjects: Human capital investment; wage inequalities; factor models; missing data
    Scope: 1 Online-Ressource (circa 94 Seiten)
  18. Essays in Bayesian macroeconometrics and forecasting
    Author: Hauber, Philipp
    Published: 2022
    Publisher:  Universitätsbibliothek Kiel, Kiel

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    Source: Union catalogues
    Contributor: Carstensen, Kai (AkademischeR BetreuerIn); Demetrescu, Matei (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
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    Subjects: Bayesian econometrics; forecasting; factor models; precision samplers
    Scope: 1 Online-Ressource (vi, 117 Blätter), Illustrationen
    Notes:

    Kumulatives Verfahren, enthält 3 Aufsätze aus Zeitschriften

    Dissertation, Christian-Albrechts-Universität zu Kiel, 2022
  19. The market price of greenness
    a factor pricing approach for Green Bonds
    Author: Bertelli, Beatrice; Boero, Gianna; Torricelli, Costanza
    Published: June 2021
    Publisher:  CEFIN, Centro Studi di Banca e Finanza, Dipartimento di Economia Marco Biagi, Università di Modena e Reggio Emilia, Modena (Italy)

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    Series: CEFIN working papers ; no 83
    Subjects: green bonds; green premium; sustainable finance; factor models; asset pricing
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  20. The euro area government spending multiplier in demand- and supply-driven recessions
    Author: Di Serio, Mario; Fragetta, Matteo; Gasteiger, Emanuel; Melina, Giovanni
    Published: April 2022
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We estimate government spending multipliers in demand- and supply-driven recessions for the Euro Area. Multipliers in a moderately demand-driven recession are 2-3 times larger than in a moderately supply-driven recession, with the difference between... more

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    We estimate government spending multipliers in demand- and supply-driven recessions for the Euro Area. Multipliers in a moderately demand-driven recession are 2-3 times larger than in a moderately supply-driven recession, with the difference between multipliers being non-zero with very high probability. More generally, multipliers are inversely correlated with the deviation of inflation from its trend, implying that the more demand-driven a recession, the higher the multiplier. Median multipliers range from -0.5 in supply-driven recessions to about 2 in demand-driven recessions. The econometric approach leverages a factor-augmented interacted vector-autoregression model purified of expectations (FAIPVAR-X). The model captures the time-varying state of the business-cycle including strongly and moderately demand- and supply-driven recessions, by taking the whole distribution of inflation deviations from trend into account.

     
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    hdl: 10419/260808
    Series: CESifo working paper ; no. 9678 (2022)
    Subjects: fiscal multiplier; business cycle; interacted panel VAR; factor models; Euro Area
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  21. Saddlepoint approximations for credit portfolios with stochastic recoveries
    Author: Herbertsson, Alexander
    Published: August 2022
    Publisher:  Department of Economics, University of Gothenburg, [Göteborg]

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    Source: Union catalogues
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    Other identifier:
    hdl: 2077/73281
    Series: Working paper in economics ; no. 823
    Subjects: portfolio credit risk; intensity-based models; factor models; Value-at-Risk; conditional independent dependence modelling; saddlepoint-methods; Fourier-transform methods; numerical methods
    Scope: 1 Online-Ressource (circa 69 Seiten), Illustrationen
  22. Factor models with local factors - determining the number of relevant factors
    Author: Freyaldenhoven, Simon
    Published: [2021]
    Publisher:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

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    Series: Working papers / Research Department, Federal Reserve Bank of Philadelphia ; 21, 15 (April 2021)
    Subjects: high-dimensional data; factor models; weak factors; local factors; sparsity
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  23. Financial instability and economic activity
    Author: Fortin, Ines; Hlouskova, Jaroslava; Sögner, Leopold
    Published: [2021]
    Publisher:  Institut für Höhere Studien - Institute for Advanced Studies (IHS), Wien

    We estimate new indices measuring financial and economic (in)stability in Austria and in the euro area. Instead of estimating the level of (in)stability in a financial or economic system we measure the degree of predictability of (in)stability, where... more

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    We estimate new indices measuring financial and economic (in)stability in Austria and in the euro area. Instead of estimating the level of (in)stability in a financial or economic system we measure the degree of predictability of (in)stability, where our methodological approach is based on the uncertainty index of Jurado, Ludvigson and Ng (2015). We perform an impulse response analysis in a vector error correction framework, where we focus on the impact of uncertainty shocks on industrial production, employment and the stock market. We find that financial uncertainty shows a strong significantly negative impact on the stock market, for both Austria and the euro area, while economic uncertainty shows a strong significantly negative impact on the economic variables for the euro area. We also perform a forecasting analysis, where we assess the merits of uncertainty indicators for forecasting industrial production, employment and the stock market, using different forecast performance measures. The results suggest that financial uncertainty improves the forecasts of the stock market while economic uncertainty improves the forecasts of macroeconomic variables. We also use aggregate banking data to construct an augmented financial uncertainty index and examine whether models including this augmented financial uncertainty index outperform models including the original financial uncertainty index in terms of forecasting.

     
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    Other identifier:
    hdl: 10419/248710
    Series: IHS working paper ; 36 (November 2021)
    Subjects: financial (in)stability; uncertainty; financial crisis; forecasting; stochastic volatility; factor models
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  24. A factor model for Cryptocurrency returns
    Author: Bianchi, Daniele; Babiak, Mykola
    Published: November 2021
    Publisher:  Charles University, Center for Economic Research and Graduate Education, Prague

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 823
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9788073435172; 9788073446123
    Series: Working paper series / CERGE-EI ; 710
    Subjects: Cryptocurrency markets; Instrumented PCA; asset pricing; factor models; risk premiums
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  25. Spurious factor analysis
    Author: Onatski, Alexei; Wang, Chen
    Published: January 13, 2020
    Publisher:  University of Cambridge, Faculty of Economics, Cambridge

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VSP 1362
    Inter-library loan:
    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Cambridge working paper in economics ; 2003
    Cambridge-INET working paper series ; no.: 2020, 01
    Subjects: Spurious regression; principal components; factor models; Karhunen-Loève expansion
    Scope: 1 Online-Ressource (circa 82 Seiten), Illustrationen