By Siem Jan Koopman,Eric Hillebrand

ISBN-10: 1785603531

ISBN-13: 9781785603532

Dynamic issue versions (DFM) represent an lively and growing to be zone of study, either in econometrics, in macroeconomics, and in finance. Many purposes lie on the middle of coverage questions raised by way of the new monetary crises, equivalent to the connections among yields on govt debt, credits probability, inflation, and financial development. This quantity collects a key choice of up to date contributions that disguise a variety of matters within the context of dynamic issue modeling, akin to specification, estimation, and alertness of DFMs. Examples comprise additional advancements in DFM for mixed-frequency information settings, extensions to time-varying parameters and structural breaks, for multi-level components linked to subsets of variables, in issue augmented errors correction types, and in lots of different comparable elements. a few contributions suggest new estimation tactics for DFM, comparable to spectral expectation-maximization algorithms and Bayesian ways. various functions are mentioned, together with the courting of commercial cycles, implied volatility surfaces, expert forecaster survey facts, and plenty of more.

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Dynamic Factor Models: 35 (Advances in Econometrics) by Siem Jan Koopman,Eric Hillebrand


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