1,721,207 research outputs found
General equilibrium models of the term structure of interest rates: the N-production processes case
No full textNota di lavoro n. 94.20 Dipartimento di Scienze Economiche, Università Ca' Foscari Venezi
Multivariate Markov Switching Dynamic Conditional Correlation GARCH representations for contagion analysis
No full textThis paper provides an extension of the Dynamic Conditional Correlation model of Engle (2002) by allowing both the unconditional correlation and the parameters to be driven by an unobservable Markov chain. We provide the estimation algorithm and perform an empirical analysis of the contagion phenomenon in which our model is compared to the traditional CCC and DCC representations
Forecasting Economic Indicators with Robust Factor Models
No full textOutliers can cause significant errors in forecasting, and it is essential to reduce their impact without losing the information they store. Information loss naturally arises if observations are dropped from the dataset. Thus, two alternative procedures are considered here: the Fast Minimum Covariance Determinant and the Iteratively Reweighted Least Squares. The procedures are used to estimate factor models robust to outliers, and a comparison of the forecast abilities of the robust approaches is carried out on a large dataset widely used in economics. The dataset includes observations relative to the 2009 crisis and the COVID-19 pandemic, some of which can be considered outliers. The comparison is carried out at different sampling frequencies and horizons, in-sample and out-of-sample, on relevant variables such as GDP, Unemployment Rate, and Prices for both the US and the EU
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