The Generalized Dynamic Factor Model one-sided estimation and forecasting

Mario Forni, Universit`a di Modena and CEPR

Marc Hallin ISRO, ECARES, and D´epartement de Math´ematique Universit´e Libre de Bruxelles

Marco Lippi Universit`a di Roma La Sapienza

and

Lucrezia Reichlin ECARES, Universit´e Libre de Bruxelles and CEPR

Abstract

This paper proposes a new forecasting method which makes use of information from a

large panel of time series. As…

Peter Feldh Linda S. Larsen Claus Munk Anders B. Trolle

Abstract

We investigate the impact of parameter uncertainty on the performance of bond portfolios. We assume that the data generating process is represented by the well-established three-factor essentially ane Gaussian term structure model. We estimate this model and three simpler models to US data using the

Markov Chain Monte Carlo method which provides a posterior distribution of parameters given the…

CORRELATION AND CONTAGION IN EMPIRICAL FACTOR MODELS OF BANK CREDIT RISK

Michael Beenstock Department of Economics Hebrew University of Jerusalem

Mahmood Khatib School of Management Tel Aviv University

January 3, 2012

Abstract

Credit risk may be correlated because the observed and unobserved drivers of credit risk happen to be correlated, or because they are related through contagion. We identify contagion by assuming that contagion takes time. Bank…

One of the biggest moments for the markets can come when there is a key news release or fresh fundamental data. Buyers and sellers seem to wrestle with the potential outcome, and in the case of larger announcements, volatility goes through the roof. The problem that I see some traders struggle with is knowing what news to look for, and how to trade it.



Finding news that you can actually use.



The thing that often comes up when you talk about announcements is that…

Perhaps you took my advise a few weeks back and took advantage of the amazing (trumps blare!) SAS Enterprise Guide ability to import MS Excel spreadsheets.  However, if your spreadsheet is a little different – then you may run into some issue when you go to import it.  For instance, look at this…

Deloitte Analytics is conducting a major research study to better understand where companies are in their adoption of analytics. We would like to invite you to participate in our first annual Global Analytics Advantage survey. This brief survey should only take 15 minutes of your time and results will be shared with participants in September. Thank you!

Emphasis here is on web log data. More than one rule must be triggered to fire an alarm. You may use a system such as hidden decision trees to assign a specific weight to each rule.

1. Monte Carlo simulations to detect extreme…

Workshops

eScience 2012 will include workshops on 8-9 October.

In addition to the Microsoft eScience Workshop, other workshops were solicited

in the Call for Workshops. Six workshops were accepted:

• 8 October: Extending High-Performance Computing Beyond its Traditional User Communities,
  
  Papers due 6…

@TRUE_BI Next Week: Free Webinar. LITEBI New Business Intelligence Tool in the Cloud. EN: http://goo.gl/jiu3H SPA http://goo.gl/IPkcI

Featured

US Training for RapidMiner and RapidAnalytics - http://www.datasciencecentral.com/profiles/blogs/us-training-for-rapidminer-and-rapidanalytics…

...Usually such behavior is not proficient to obtain good results, but this time I think that the change of…

ReMetrics ReView
Using Hurricane Forecasts to Adjust Peril Model Loss Probabilities

http://www.tropicalstormrisk.com/docs/ReMetricsTSR-Oct2005.pdf

When I was creating the Summary and Detailed reports for the SAS Global Forum paper, I was demonstrating how to link from the weekly chart to the detailed report about the week.  On my first try with my Week Filter based on the date value – it just would not work.  Eeek!  To fix the problem I made a new data item that was a character value.  This posts talks about my strategy.  [You can read our paper "…

Bank of England

Working Paper No. 450
Forecasting UK GDP growth, inflation and interest rates under structural change:
a comparison of models with time-varying parameters

Alina Barnett, Haroon Mumtaz and
Konstantinos Theodoridis

May 2012

http://www.bankofengland.co.uk/publications/Documents/workingpapers/wp450.pdf

Bank of England

Working Paper No. 448

Non-rational expectations and the transmission mechanism
Richard Harrison and Tim Taylor
May 2012

http://www.bankofengland.co.uk/publications/Documents/workingpapers/wp448.pdf

Here is our weekly selection, with several original articles from Vincent Granville (the Founder).

• Four different ways to solve a data science problem - case study…

One of the best things about attending the SAS Global Forum is all the brilliant people you get to meet.  Guy Garrett’s presentation about planning a BI strategy was quiet popular and I have to say he was very witty.  Turns out implementing a BI strategy is similar to dating –
who knew?  Anyway – here’s a follow up from Guy – I encourage you to sign-up for the
Achieve Intelligence monthly newsletter for more goodies.

What is…

Google Analytics uses data from your Website to prepare a neat looking application where you can explore your data and answer what I consider your first-level questions. First-level questions are the most basic things you might want to know, such as How many? What Time Period? It is the second- and third-level questions where the analysis and action plans come into play. After all, it’s not enough to know how many people visited the site – you need to know what segment attracted them and how…

This is our third post in our series of "great articles". For each article, click on the link after the title to read the full story.

1. How Big Data Will Disrupt the $9 Billion Music Publishing Rights Business - …