Theoretical model for the dynamic structure factor 41
Theoretical Structure of the FAGE Model
... 3. Conclusions This paper covers the theoretical framework of the FAGE model used in Xiao (2009). We introduced a stylized model with only six agents and a small number of assets and liabilities. For ...
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A functional dynamic factor model
... Chapter 1 Introduction Consider the problem of properly staffing a call center for, say, a major East coast credit card company. Call volumes fluctuate week to week, day to day, and even hour to hour. The danger of ...
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Dynamic Factor Copula Model
... the model assumptions [7, ...correlation factor loadings for different tranches based on the same underlying ...calibrate factor copula models is base correlation [12], which calibrates the ...
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Dynamic factor model with infinite-dimensional factor space:forecasting
... three Dynamic Factor Models: (i) The standard principal-component model introduced by Stock and Watson in 2002, (ii) The model based on generalized principal components, introduced by Forni, ...
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A Dynamic Factor Model for the Colombian Inflation
... each factor for different samples and set of ...first factor explains in average 18% of the ...first factor does not explain a large proportion of overall variation of the corresponding set of ...
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Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
... smooth dynamic factor model we obtain the usual level, slope and curvature ...provides factor estimates corresponding to the real econ- omy, price indices, and labor and housing market ...
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Dynamic ion structure factor of warm dense matter
... ion structure in warm dense matter is determined by molecular dynamics simulations using an effective ion-ion ...or dynamic local field corrections are found to be insufficient to describe the ...hydrodynamic ...
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Bayesian Factor Selection in Dynamic Term Structure Models
... latent factor, note that the factor analysis with a redundant ...correct model factors contains four factors and the estimated model contains five factors), due to the nonlinearity of the ...
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Bayesian Factor Selection in Dynamic Term Structure Models
... of model selection are hampered by the nonlinear for- mulation that contains common parameters in the de nition of the latent ...latent factor, note that the factor analysis with a redundant ...
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An Affine Factor Model of the Greek Term Structure
... level factor clearly declines in 2004 and 2005, these short and medium term in‡ationary prospects apparently not …ltering through to long-run ...level factor becomes markedly less volatile from 2001 ...
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"Public sector pricing": Theoretical analysis in a dynamic macroeconomic model
... generations model with a single representative individual of each generation in this economy featuring excess supply in both ...the dynamic context of the present model using overlapping generations, ...
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Forecasting Housing Prices: Dynamic Factor Model versus LBVAR Model
... This paper investigates the recent moving trends of house prices in 42 metropolitan areas in the United State from the perspective of large-scale models, which are Dynamic Factor Model (DFM) and ...
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Nowcasting Slovak GDP by a Small Dynamic Factor Model
... small dynamic factor model (DFM) for nowcasting GDP growth in ...The model predicts the developments of real activity based on monthly indicators, such as sales, employment, employers’ health ...
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Inflation and Globalisation: A Dynamic Factor Model with Stochastic Volatility
... global factor, regional factor and the idiosyncratic term over the two ...split model while the second entry is obtained using the restricted split ...global factor in US, Belgium and ...
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IInflation and Globalisation: A Dynamic Factor Model with Stochastic Volatility
... global factor, regional factor and the idiosyncratic term over the two ...split model while the second entry is obtained using the restricted split ...global factor in US, Belgium and ...
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Dynamic semi-parametric factor model for functional expectiles
... overparametrized model, which captures almost any behaviour or trend, ...the model and the number of dependent variables by lasso ...proposed model for estimation and forecasting of daily tempera- ...
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Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model
... This prevents us from using the zero restrictions commonly employed in the structural VAR (and structural dynamic factor) literature which are at odds with some theoretical models. We identify four ...
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A dynamic factor model for nowcasting Canadian GDP growth
... the model over the 180 days it generates predictions for quarter t ...AR model, whereas the green lines show the RMSFE of the monthly AR ...AR model by 32%, and at the end of the second month, by 32% ...
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A dynamic factor model for nowcasting Canadian GDP growth
... the model over the 180 days it generates predictions for quarter t ...AR model, whereas the green lines show the RMSFE of the monthly AR ...AR model by 32%, and at the end of the second month, by 32% ...
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FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure
... frequency factor models and of two ad- ditional benchmark ...frequency structure, we also consider a quarterly VAR (estimated with order 2 on the bases of the AIC criteria) that includes the same ...
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