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The Macroeconomy and the Yield Curve:A Dynamic Latent Factor Approach
Term structure interest rates macroeconomic fundamentals factor model state-space model
2015/9/18
We estimate a model that summarizes the yield curve using latent factors (specifically, level,slope, and curvature) and also includes observable macroeconomic variables (specifically, real activity,in...
A New Model of Integrity: The Missing Factor Of Production (PDF file of Keynote and PowerPoint Slides)
Performance Improvement Programs Trust Competitive Advantage Value Creation Washington (state, US)
2015/4/23
An Actionable Pathway To Dramatic Increases In Individual And Organizational Performance.
Full Day Executive Program Seminar taught at Olin Business School, Washington University, St. Louis, MO.
Wor...
Foreign Direct Investment and Full Factor Productivity in China
Foreign direct investment Total factor productivity Spatial econometrics
2014/3/12
This paper develops a spatial dynamic model to assess the total-factor-productivity (TFP) effects of externalities generated by foreign direct investment (FDI). The model is capable of disentangling T...
Consistent Factor Estimation in Dynamic Factor Models with Structural Instability
Factor Estimation Dynamic Factor Models Structural Instability
2014/3/18
This paper considers the estimation of approximate dynamic factor models when there is temporal instability in the factor loadings. We characterize the type and magnitude of instabilities under which ...
Changing factor market conditions in South Africa: the capital market – a sectoral description of the period 1970–97
capital markets commodity sector manufacturing industry capital productitivity
2011/9/12
This article explores changing conditions in South African real capital markets. Noteworthy is the evidence of strong restructuring in this market during the 1990s. Whereas the 1970s and 1980s showed ...
One-yea reserve risk including a tail factor : closed formula and bootstrap approaches
Non‐life insurance Reserve risk Claims Development Result Bootstrap method Tail factor Prediction error Solvency II
2011/7/19
In this paper, we detail the main simulation methods used in practice to measure one‐year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development ...
One-yea reserve risk including a tail factor : closed formula and bootstrap approaches
Non‐life insurance, Reserve risk, Claims Development Result, Bootstrap method, Tail factor, Prediction
2011/7/19
In this paper, we detail the main simulation methods used in practice to measure one‐year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development ...
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes
2010/10/18
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
Implied Multi-Factor Model Bespoke CDO Tranches Portfolio Credit Derivatives
2010/11/2
This paper introduces a new semi-parametric approach to the pricing and risk management of
bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto
more than one ref...
The effect of a market factor on information flow between stocks using minimal spanning tree
market factor stocks minimal spanning tree
2010/11/1
We empirically investigated the effects of market factors on the information flow created from
N(N −1)/2 linkage relationships among stocks. We also examined the possibility of employing the mi...
Conflict of Interests, Alien Factor and Auditor Switches—Empirical Evidences from Chinese Capital Markets
auditor switches audit opinions conflict of interests
2007/7/4
In the audit market of China, it is of theoretical and empirical importance to research the determinants of auditor switches. Using data selected from the 2003 and 2004 annual reports, we analyze the ...
Factor demand modelling: the theory and the practice
factor demand aexible functional forms error correction model cointegration
2014/6/24
Since the work of Cobb and Douglas [18], two main innovations have been introduced in applied factor demand analysis, i.e. the use of áexible functional forms and the modelling of dynamics, expectatio...
Factor conditions of the viniculture and wine sector in the EU member states, in the Czech Republic and in the selected candidate countries
EU candidate countries viniculture and wine sector area of vineyards per hectare yield of grapes wine production wine consumption export import
2014/3/28
The paper is a part of the solution of the research plan of the FBE MUAF in Brno, No. GAMSM 431100007, and it is focused on the analysis of factors influencing competitiveness of the wine-growing and ...
A dynamic factor model framework for forecast combination
Combination forecasts principal component regression James-Stein estimation
2014/3/18
A panel of ex-ante forecasts of a single time series is modeled as a dynamic factor model, where the conditional expectation is the single unobserved factor. When applied to out-of-sample forecasting,...
A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates
State space model Dynamic factor anal-ysis Kalman filter Method of scoring Unobserved com- ponent estimation
2014/3/18
The paper formulates and estimates a single-factor multi-variate time series model. The model is a dynamic gen-eralization of the multiple indicator (or factor analysis) model. ...