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Dynamic Factor Models
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Listed:
- Eric Hillebrand
- Siem Jan Koopman
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Individual chapters are listed in the "Chapters" tab
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Citations
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Cited by:
- Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman, 2019. "Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors," CREATES Research Papers 2019-21, Department of Economics and Business Economics, Aarhus University.
- Olushina Olawale Awe & Abosede Adedayo Adepoju, 2020. "Change-point detection in CO2 emission-energy consumption nexus using a recursive Bayesian estimation approach," Statistics in Transition New Series, Polish Statistical Association, vol. 21(1), pages 123-136, March.
Book Chapters
The following chapters of this book are listed in IDEAS- Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2016. "An Overview of the Factor-augmented Error-Correction Model," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 3-41, Emerald Publishing Ltd.
- Lukas Koelbl & Alexander Braumann & Elisabeth Felsenstein & Manfred Deistler, 2016. "Estimation of VAR Systems from Mixed-Frequency Data: The Stock and the Flow Case," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 43-73, Emerald Publishing Ltd.
- Jens H. E. Christensen & Glenn D. Rudebusch, 2016. "Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 75-125, Emerald Publishing Ltd.
- Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2016. "Dynamic Factor Models for the Volatility Surface," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 127-174, Emerald Publishing Ltd.
- Breitung Jörg & Eickmeier Sandra, 2016. "Analyzing International Business and Financial Cycles using Multi-Level Factor Models: A Comparison of Alternative Approaches," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 177-214, Emerald Publishing Ltd.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 215-282, Emerald Publishing Ltd.
- Maximo Camacho & Danilo Leiva-Leon & Gabriel Perez-Quiros, 2016. "Country Shocks, Monetary Policy Expectations and ECB Decisions. A Dynamic Non-linear Approach," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 283-316, Emerald Publishing Ltd.
- Martin Belvisi & Riccardo Pianeti & Giovanni Urga, 2016. "Modelling Financial Markets Comovements during Crises: A Dynamic Multi-Factor Approach," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 317-360, Emerald Publishing Ltd.
- Laura E. Jackson & M. Ayhan Kose & Christopher Otrok & Michael T. Owyang, 2016. "Specification and Estimation of Bayesian Dynamic Factor Models: A Monte Carlo Analysis with an Application to Global House Price Comovement," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 361-400, Emerald Publishing Ltd.
- Pilar Poncela & Esther Ruiz, 2016. "Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 401-434, Emerald Publishing Ltd.
- Laurent Callot & Johannes Tang Kristensen, 2016. "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 437-479, Emerald Publishing Ltd.
- Catherine Doz & Anna Petronevich, 2016. "Dating Business Cycle Turning Points for the French Economy: An MS-DFM approach," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 481-538, Emerald Publishing Ltd.
- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2016. "Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 539-565, Emerald Publishing Ltd.
- Antonello D’Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2016. "Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 569-594, Emerald Publishing Ltd.
- Tommaso Proietti, 2016. "On the Selection of Common Factors for Macroeconomic Forecasting," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 593-628, Emerald Publishing Ltd.
- Gerhard Rünstler, 2016. "On the Design of Data Sets for Forecasting with Dynamic Factor Models," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 629-662, Emerald Publishing Ltd.
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