Dynamic Factor Models

By Siem Jan Koopman

Book Overview

Dynamic factor models (DFM) constitute an active and growing area of research, both in econometrics, in macroeconomics, and in finance. Many applications lie at the center of policy questions raised by the recent financial crises, such as the connections between yields on government debt, credit risk, inflation, and economic growth. This volume collects a key selection of up-to-date contributions that cover a wide range of issues in the context of dynamic factor modeling, such as specification, estimation, and application of DFMs. Examples include further developments in DFM for mixed-frequency data settings, extensions to time-varying parameters and structural breaks, for multi-level factors associated with subsets of variables, in factor augmented error correction models, and in many other related aspects. A number of contributions propose new estimation procedures for DFM, such as spectral expectation-maximization algorithms and Bayesian approaches. Numerous applications are discussed, including the dating of business cycles, implied volatility surfaces, professional forecaster survey data, and many more.

• Format: Hardcover
• Language: English
• ISBN: 1785603531
• ISBN13: 9781785603532
• Release Date: January 2016
• Publisher: Emerald Group Publishing
• Length: 688 Pages
• Weight: 2.50 lbs.
• Dimensions: 2.1" x 6.1" x 9.1"

Customer Reviews

A good book on landscape sketch and graphic

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Landscape Graphics Plan, Section, and Perspective Drawing of Landscape Spaces

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Outstanding for a Beginning Landscape Designer

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Wow! What a great book, and working tool for the desiger.

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An Excellent Resource Book for All.

This is an excellent book to refer to as a student of Landscape Architecture. Includes starting with Concept Plans, Design stages, right through to finished rendering techniques and more. I 100% recommended this Publication.