Dynamic Factor Models
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PART I: METHODOLOGY An Overview of the Factor-Augmented Error-Correction Model - Anindya Banerjee, Massimiliano Marcellino and Igor Masten Estimation of VAR Systems from Mixed-Frequency Data: the Stock and the Flow Case - Lukas Koelbl, Alexander Braumann, Elisabeth Felsenstein and Manfred Deistler Modelling Yields at the Zero Lower Bound: Are Shadow Rates the Solution? - Jens H. E. Christensen and Glenn D. Rudebusch Dynamic Factor Models for the Volatility Surface - Michel Van Der Wel, Sait R. Ozturk and Dick Van Dijk PART II: FACTOR STRUCTURE AND SPECIFICATION Analyzing International Business and Financial Cycles Using Multi-Level Factor Models: a Comparison of Alternative Approaches - Jorg Breitung and Sandra Eickmeier Fast ML Estimation of Dynamic Bifactor Models: an Application to European Inflation - Gabriele Fiorentini, Alessandro Galesi and Enrique Sentana Country Shocks, Monetary Policy Expectations and ECB Decisions. a Dynamic Non-Linear Approach - Maximo Camacho, Danilo Leiva-Leon and Gabriel Perez-Quiros Modelling Financial Markets Comovements During Crises: a Dynamic Multi-Factor Approach - Martin Belvisi, Riccardo Pianeti and Giovanni Urga Specification and Estimation of Bayesian Dynamic Factor Models: a Monte Carlo Analysis with an Application to Global House Price Comovement - Laura E. Jackson, M. Ayhan Kose, Christopher Otrok and Michael T. Owyang Small-versus Big-Data Factor Extraction In Dynamic Factor Models: an Empirical Assessment - Pilar Poncela and Esther Ruiz PART III: INSTABILITY Regularized Estimation of Structural Instability In Factor Models: the US Macroeconomy and the Great Moderation - Laurent Callot and Johannes Tang Kristensen Dating Business Cycle Turning Points for the French Economy: an MS-DFM Approach - Catherine Doz and Anna Petronevich Common Faith or Parting Ways? a Time Varying Parameters Factor Analysis of Euro-Area Inflation - Davide Delle Monache, Ivan Petrella and Fabrizio Venditti PART IV: NOWCASTING AND FORECASTING Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models - Antonello D’Agostino, Domenico Giannone, Michele Lenza and Michele Modugno On the Selection of Common Factors for Macroeconomic Forecasting - Alessandro Giovannelli and Tommaso Proietti On the Design of Data Sets for Forecasting with Dynamic Factor Models - Gerhard Runstler
Editors Hillebrand and Koopman present students, academics, researchers, and professionals working in a wide variety of contexts with a collection of academic and expert contributions on the use of dynamic factor models (DFM) in the study of econometrics, macroeconomics, and finance. The editors have organized the contributions that make up the main body of their text in four parts devoted to methodology, factor structure and specification, instability, and nowcasting and forecasting. Eric Hillebrand is a faculty member of Aarhus University, Denmark. Siem Jan Koopman is a faculty member of VU University, The Netherlands.