A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis

Florian Huber; Michael Pfarrhofer; Philipp Piribauer

doi:10.1002/for.2667

A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis

Journal of Forecasting ◽

10.1002/for.2667 ◽

2020 ◽

Vol 39 (6) ◽

pp. 911-926

Author(s):

Florian Huber ◽

Michael Pfarrhofer ◽

Philipp Piribauer

Keyword(s):

Business Cycle ◽

Stochastic Volatility ◽

Euro Area ◽

Factor Model ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Business Cycle Analysis

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Which Indicators Matter? Analyzing the Swiss Business Cycle Using a Large-Scale Mixed-Frequency Dynamic Factor Model

Journal of Business Cycle Research ◽

10.1007/s41549-018-0030-4 ◽

2018 ◽

Vol 14 (2) ◽

pp. 179-218 ◽

Cited By ~ 4

Author(s):

Alain Galli

Keyword(s):

Business Cycle ◽

Large Scale ◽

Factor Model ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Mixed Frequency

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Business Cycle Synchronization in Europe: Evidence from a Dynamic Factor Model

International Economic Journal ◽

10.1080/10168737.2012.659278 ◽

2013 ◽

Vol 27 (3) ◽

pp. 347-364 ◽

Cited By ~ 17

Author(s):

Jim Lee

Keyword(s):

Business Cycle ◽

Factor Model ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Business Cycle Synchronization

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Co-movement of Government Debt and Economic Growth in the Euro-area: A Bayesian Dynamic Factor Model Analysis

International Economic Journal ◽

10.1080/10168737.2012.719916 ◽

2013 ◽

Vol 27 (4) ◽

pp. 625-643 ◽

Cited By ~ 1

Author(s):

Huiran Pan ◽

Chun Wang

Keyword(s):

Economic Growth ◽

Euro Area ◽

Factor Model ◽

Government Debt ◽

Model Analysis ◽

Dynamic Factor ◽

Dynamic Factor Model

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Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching

Review of Economics and Statistics ◽

10.1162/003465398557447 ◽

1998 ◽

Vol 80 (2) ◽

pp. 188-201 ◽

Cited By ~ 223

Author(s):

Chang-Jin Kim ◽

Charles R. Nelson

Keyword(s):

Business Cycle ◽

Regime Switching ◽

Factor Model ◽

Turning Points ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Duration Dependence ◽

Coincident Index

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Estimating and forecasting the euro area monthly national accounts from a dynamic factor model

OECD Journal Journal of Business Cycle Measurement and Analysis ◽

10.1787/jbcma-2010-5kmmsxgf2qbs ◽

2010 ◽

Vol 2010 (1) ◽

pp. 1-22 ◽

Cited By ~ 16

Author(s):

Elena Angelini ◽

Marta Banbura ◽

Gerhard Rünstler

Keyword(s):

Euro Area ◽

Factor Model ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

National Accounts

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Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle

SSRN Electronic Journal ◽

10.2139/ssrn.2978514 ◽

2017 ◽

Author(s):

Kai Carstensen ◽

Markus Heinrich ◽

Magnus Reif ◽

Maik H. Wolters

Keyword(s):

Business Cycle ◽

Factor Model ◽

Markov Switching ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Switching Dynamic

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A Generalised Dynamic Factor Model for the Belgian Economy - Useful Business Cycle Indicators and GDP Growth Forecasts

SSRN Electronic Journal ◽

10.2139/ssrn.1690444 ◽

2006 ◽

Cited By ~ 122

Author(s):

Christophe Van Nieuwenhuyze

Keyword(s):

Business Cycle ◽

Factor Model ◽

Dynamic Factor ◽

Gdp Growth ◽

Dynamic Factor Model ◽

Growth Forecasts

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Nowcasting GDP Using Dynamic Factor Model with Unknown Number of Factors and Stochastic Volatility: A Bayesian Approach

Econometrics and Statistics ◽

10.1016/j.ecosta.2021.08.009 ◽

2021 ◽

Author(s):

Yixiao Zhang ◽

Cindy L. Yu ◽

Haitao Li

Keyword(s):

Stochastic Volatility ◽

Bayesian Approach ◽

Factor Model ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Unknown Number ◽

Number Of Factors

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The emergence of regional business cycle in Africa—a reality or myth? A Bayesian dynamic factor model analysis

World Economy ◽

10.1111/twec.12888 ◽

2019 ◽

Vol 43 (1) ◽

pp. 239-273

Author(s):

Oyeyinka S. Omoshoro‐Jones ◽

Lumengo Bonga‐Bonga

Keyword(s):

Business Cycle ◽

Factor Model ◽

Model Analysis ◽

Dynamic Factor ◽

Dynamic Factor Model

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Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.2221327 ◽

2013 ◽

Cited By ~ 32

Author(s):

Massimiliano Giuseppe Marcellino ◽

Mario Porqueddu ◽

Fabrizio Venditti

Keyword(s):

Stochastic Volatility ◽

Factor Model ◽

Dynamic Factor ◽

Dynamic Factor Model ◽

Short Term ◽

Mixed Frequency

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