Dynamic Factor Models PDF Download

Author: Siem Jan Koopman
Publisher: Emerald Group Publishing
ISBN: 1785603523
Category : Business & Economics
Languages : en
Pages : 685

View

Book Description
This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.

Author: Frauke Schleer-van Gellecom
Publisher: Springer Science & Business Media
ISBN: 3642420397
Category : Business & Economics
Languages : en
Pages : 268

View

Book Description
In recent years nonlinearities have gained increasing importance in economic and econometric research, particularly after the financial crisis and the economic downturn after 2007. This book contains theoretical, computational and empirical papers that incorporate nonlinearities in econometric models and apply them to real economic problems. It intends to serve as an inspiration for researchers to take potential nonlinearities in account. Researchers should be aware of applying linear model-types spuriously to problems which include non-linear features. It is indispensable to use the correct model type in order to avoid biased recommendations for economic policy.

Author: Frank H. Knight
Publisher: Cosimo, Inc.
ISBN: 1602060053
Category : Business & Economics
Languages : en
Pages : 401

View

Book Description
A timeless classic of economic theory that remains fascinating and pertinent today, this is Frank Knight's famous explanation of why perfect competition cannot eliminate profits, the important differences between "risk" and "uncertainty," and the vital role of the entrepreneur in profitmaking. Based on Knight's PhD dissertation, this 1921 work, balancing theory with fact to come to stunning insights, is a distinct pleasure to read. FRANK H. KNIGHT (1885-1972) is considered by some the greatest American scholar of economics of the 20th century. An economics professor at the University of Chicago from 1927 until 1955, he was one of the founders of the Chicago school of economics, which influenced Milton Friedman and George Stigler.

Author: Jonathan Heathcote
Publisher: DIANE Publishing
ISBN: 1437934919
Category : Business & Economics
Languages : en
Pages : 61

View

Book Description
The authors conducted a systematic empirical study of cross-sectional inequality in the U.S., integrating data from various surveys. The authors follow the mapping suggested by the household budget constraint from individual wages to individual earnings, to household earnings, to disposable income, and, ultimately, to consumption and wealth. They document a continuous and sizable increase in wage inequality over the sample period. Changes in the distribution of hours worked sharpen the rise in earnings inequality before 1982, but mitigate its increase thereafter. Taxes and transfers compress the level of income inequality, especially at the bottom of the distribution, but have little effect on the overall trend. Charts and tables. This is a print-on-demand publication; it is not an original.

Author: Ms.Ana Fostel
Publisher: International Monetary Fund
ISBN: 1455205370
Category : Business & Economics
Languages : en
Pages : 35

View

Book Description
The literature on leverage until now shows how an increase in volatility reduces leverage. However, in order to explain pro-cyclical leverage it assumes that bad news increases volatility. This paper suggests a reason why bad news is more often than not associated with higher future volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest mostly in technologies that become volatile in bad times. Together with the old literature this explains pro-cyclical leverage. The result also gives rationale to the pattern of volatility smiles observed in the stock options since 1987. Finally, the paper presents for the first time a dynamic model in which an asset is endogenously traded simultaneously at different margin requirements in equilibrium.

Author: Razali Haron
Publisher: BoD – Books on Demand
ISBN: 178984682X
Category : Business & Economics
Languages : en
Pages : 278

View

Book Description
The banking and finance industry plays a significant role in the economy of a nation. As such, continuous research and up-to-date feeds are necessary for it to stay competitive and resilient. Due to its revolving and dynamic nature as well as its significance and interlinkages with other industries, a well-functioning banking and finance system is vital in safeguarding the interest of all stakeholders. Banking and Finance covers a wide range of essential topics highlighting major issues related to banking and finance. The book is rich with empirical evidence, scientific researches, best practices, and recommendations, making it a compact yet handy reference for readers, especially those who are in the field of banking and finance.

Author: Robert K. Dixit
Publisher: Princeton University Press
ISBN: 1400830176
Category : Business & Economics
Languages : en
Pages : 484

View

Book Description
How should firms decide whether and when to invest in new capital equipment, additions to their workforce, or the development of new products? Why have traditional economic models of investment failed to explain the behavior of investment spending in the United States and other countries? In this book, Avinash Dixit and Robert Pindyck provide the first detailed exposition of a new theoretical approach to the capital investment decisions of firms, stressing the irreversibility of most investment decisions, and the ongoing uncertainty of the economic environment in which these decisions are made. In so doing, they answer important questions about investment decisions and the behavior of investment spending. This new approach to investment recognizes the option value of waiting for better (but never complete) information. It exploits an analogy with the theory of options in financial markets, which permits a much richer dynamic framework than was possible with the traditional theory of investment. The authors present the new theory in a clear and systematic way, and consolidate, synthesize, and extend the various strands of research that have come out of the theory. Their book shows the importance of the theory for understanding investment behavior of firms; develops the implications of this theory for industry dynamics and for government policy concerning investment; and shows how the theory can be applied to specific industries and to a wide variety of business problems.

Author: C. James Hueng
Publisher: W.E. Upjohn Institute
ISBN: 0880996765
Category : Business & Economics
Languages : en
Pages : 133

View

Book Description
Policymakers and business practitioners are eager to gain access to reliable information on the state of the economy for timely decision making. More so now than ever. Traditional economic indicators have been criticized for delayed reporting, out-of-date methodology, and neglecting some aspects of the economy. Recent advances in economic theory, econometrics, and information technology have fueled research in building broader, more accurate, and higher-frequency economic indicators. This volume contains contributions from a group of prominent economists who address alternative economic indicators, including indicators in the financial market, indicators for business cycles, and indicators of economic uncertainty.

Author: Jens Beckert
Publisher: Oxford University Press
ISBN: 0192552759
Category : Business & Economics
Languages : en
Pages : 421

View

Book Description
Uncertain Futures considers how economic actors visualize the future and decide how to act in conditions of radical uncertainty. It starts from the premise that dynamic capitalist economies are characterized by relentless innovation and novelty and hence exhibit an indeterminacy that cannot be reduced to measurable risk. The organizing question then becomes how economic actors form expectations and make decisions despite the uncertainty they face. This edited volume lays the foundations for a new model of economic reasoning by showing how, in conditions of uncertainty, economic actors combine calculation with imaginaries and narratives to form fictional expectations that coordinate action and provide the confidence to act. It draws on groundbreaking research in economic sociology, economics, anthropology, and psychology to present theoretically grounded empirical case studies. These demonstrate how grand narratives, central bank forward guidance, economic forecasts, finance models, business plans, visions of technological futures, and new era stories influence behaviour and become instruments of power in markets and societies. The market impact of shared calculative devices, social narratives, and contingent imaginaries underlines the rationale for a new form of narrative economics.

Author: Bo Honoré
Publisher: Cambridge University Press
ISBN: 9781108400008
Category : Business & Economics
Languages : en
Pages : 0

View

Book Description
This is the first of two volumes containing papers and commentaries presented at the Eleventh World Congress of the Econometric Society, held in Montreal, Canada in August 2015. These papers provide state-of-the-art guides to the most important recent research in economics. The book includes surveys and interpretations of key developments in economics and econometrics, and discussion of future directions for a wide variety of topics, covering both theory and application. These volumes provide a unique, accessible survey of progress on the discipline, written by leading specialists in their fields. The first volume includes theoretical and applied papers addressing topics such as dynamic mechanism design, agency problems, and networks.