Dissecting the financial cycle with dynamic factor models

DOI10.1080/14697688.2017.1357971zbMath1406.62123OpenAlexW2752140391MaRDI QIDQ4555202

Christian Menden, Christian R. Proaño

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.boeckler.de/pdf/p_imk_wp_183_2017.pdf

zbMATH Keywords

Granger causalitydynamic factor modelearly warning systemsfinancial cycledynamic probit modelsrecession forecasting

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Improved penalization for determining the number of factors in approximate factor models
• The varimax criterion for analytic rotation in factor analysis
• Dynamic factor models
• Determining the Number of Factors in the General Dynamic Factor Model
• Determining the Number of Factors in Approximate Factor Models

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