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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...
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 ...
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,...