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Dynamische Faktormodelle: v.35 (Fortschritte in der Ökonometrie), Koopman, Hillebrand-,
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eBay-Artikelnr.:395152506806
Artikelmerkmale
- Artikelzustand
- PublishedOn
- 2015-11-24
- Title
- Dynamic Factor Models: v.35 (Advances in Econometrics)
- Artist
- Not Specified
- ISBN
- 9781785603532
Über dieses Produkt
Product Identifiers
Publisher
Emerald Publishing The Limited
ISBN-10
1785603531
ISBN-13
9781785603532
eBay Product ID (ePID)
219669322
Product Key Features
Number of Pages
688 Pages
Publication Name
Dynamic Factor Models
Language
English
Publication Year
2016
Subject
Economics / Macroeconomics, Probability & Statistics / Time Series
Type
Textbook
Subject Area
Mathematics, Business & Economics
Series
Advances in Econometrics Ser.
Format
Hardcover
Dimensions
Item Height
1.6 in
Item Weight
23.5 Oz
Item Length
9 in
Item Width
6 in
Additional Product Features
Intended Audience
Scholarly & Professional
Reviews
Editors Hillebrand and Koopman present students, academics, researchers, and professionals working in a wide variety of contexts with a collection of academic and expert contributions on the use of dynamic factor models (DFM) in the study of econometrics, macroeconomics, and finance. The editors have organized the contributions that make up the main body of their text in four parts devoted to methodology, factor structure and specification, instability, and nowcasting and forecasting. Eric Hillebrand is a faculty member of Aarhus University, Denmark. Siem Jan Koopman is a faculty member of VU University, The Netherlands., Editors Hillebrand and Koopman present students, academics, researchers, and professionals working in a wide variety of contexts with a collection of academic and expert contributions on the use of dynamic factor models (DFM) in the study of econometrics, macroeconomics, and finance. The editors have organized the contributions that make up the main body of their text in four parts devoted to methodology, factor structure and specification, instability, and nowcasting and forecasting. Eric Hillebrand is a faculty member of Aarhus University, Denmark. Siem Jan Koopman is a faculty member of VU University, The Netherlands. Distributed in North America by Turpin Distribution.
Dewey Edition
23
Series Volume Number
35
Illustrated
Yes
Volume Number
Vol. 35
Dewey Decimal
330.015195
Table Of Content
PART I: METHODOLOGYAn Overview of the Factor-Augmented Error-Correction Model - Anindya Banerjee, Massimiliano Marcellino and Igor MastenEstimation of VAR Systems from Mixed-Frequency Data: the Stock and the Flow Case - Lukas Koelbl, Alexander Braumann, Elisabeth Felsenstein and Manfred DeistlerModelling Yields at the Zero Lower Bound: Are Shadow Rates the Solution? - Jens H. E. Christensen and Glenn D. RudebuschDynamic Factor Models for the Volatility Surface - Michel Van Der Wel, Sait R. Ozturk and Dick Van DijkPART II: FACTOR STRUCTURE AND SPECIFICATIONAnalyzing International Business and Financial Cycles Using Multi-Level Factor Models: a Comparison of Alternative Approaches - Jorg Breitung and Sandra EickmeierFast ML Estimation of Dynamic Bifactor Models: an Application to European Inflation - Gabriele Fiorentini, Alessandro Galesi and Enrique SentanaCountry Shocks, Monetary Policy Expectations and ECB Decisions. a Dynamic Non-Linear Approach - Maximo Camacho, Danilo Leiva-Leon and Gabriel Perez-QuirosModelling Financial Markets Comovements During Crises: a Dynamic Multi-Factor Approach - Martin Belvisi, Riccardo Pianeti and 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, M. Ayhan Kose, Christopher Otrok and Michael T. OwyangSmall-versus Big-Data Factor Extraction In Dynamic Factor Models: an Empirical Assessment - Pilar Poncela and Esther Ruiz PART III: INSTABILITYRegularized Estimation of Structural Instability In Factor Models: the US Macroeconomy and the Great Moderation - Laurent Callot and Johannes Tang Kristensen Dating Business Cycle Turning Points for the French Economy: an MS-DFM Approach - Catherine Doz and Anna PetronevichCommon Faith or Parting Ways? a Time Varying Parameters Factor Analysis of Euro-Area Inflation - Davide Delle Monache, Ivan Petrella and Fabrizio VendittiPART IV: NOWCASTING AND FORECASTINGNowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models - Antonello D'Agostino, Domenico Giannone, Michele Lenza and Michele ModugnoOn the Selection of Common Factors for Macroeconomic Forecasting - Alessandro Giovannelli and Tommaso Proietti On the Design of Data Sets for Forecasting with Dynamic Factor Models - Gerhard Runstler
Synopsis
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., This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
LC Classification Number
HB71-74
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