Dynamic Factor Models

Business & Finance, Economics, Econometrics, Macroeconomics
Cover of the book Dynamic Factor Models by Siem Jan Koopman, Eric Hillebrand, Emerald Group Publishing Limited
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Siem Jan Koopman, Eric Hillebrand ISBN: 9781785603525
Publisher: Emerald Group Publishing Limited Publication: January 8, 2016
Imprint: Emerald Group Publishing Limited Language: English
Author: Siem Jan Koopman, Eric Hillebrand
ISBN: 9781785603525
Publisher: Emerald Group Publishing Limited
Publication: January 8, 2016
Imprint: Emerald Group Publishing Limited
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Emerald Group Publishing Limited

Cover of the book The Contribution of Fiction to Organizational Ethics by Siem Jan Koopman, Eric Hillebrand
Cover of the book Enterprising Communities by Siem Jan Koopman, Eric Hillebrand
Cover of the book Transitions by Siem Jan Koopman, Eric Hillebrand
Cover of the book The Global Educational Policy Environment in the Fourth Industrial Revolution by Siem Jan Koopman, Eric Hillebrand
Cover of the book Social Theories of History and Histories of Social Theory by Siem Jan Koopman, Eric Hillebrand
Cover of the book School-Based Interventions For Struggling Readers, K-8 by Siem Jan Koopman, Eric Hillebrand
Cover of the book Understanding the Relationship Between Networks and Technology, Creativity and Innovation by Siem Jan Koopman, Eric Hillebrand
Cover of the book Investing in our Education by Siem Jan Koopman, Eric Hillebrand
Cover of the book Instructional Practices with and without Empirical Validity by Siem Jan Koopman, Eric Hillebrand
Cover of the book Reinventing Hierarchy and Bureaucracy by Siem Jan Koopman, Eric Hillebrand
Cover of the book Research in Personnel and Human Resources Management by Siem Jan Koopman, Eric Hillebrand
Cover of the book Global Entrepreneurship by Siem Jan Koopman, Eric Hillebrand
Cover of the book Food Security in an Uncertain World by Siem Jan Koopman, Eric Hillebrand
Cover of the book Local Disaster Risk Management in a Changing Climate by Siem Jan Koopman, Eric Hillebrand
Cover of the book Emerging Directions in Doctoral Education by Siem Jan Koopman, Eric Hillebrand
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy