A Data Science Central Community
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
Lucrezia Reichlin ECARES, Universit´e Libre de Bruxelles and CEPR
This paper proposes a new forecasting method which makes use of information from a
large panel of time series. As…
Added by John A Morrison on May 31, 2012 at 11:51pm — No Comments
Peter Feldh Linda S. Larsen Claus Munk Anders B. Trolle
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…
Added by John A Morrison on May 31, 2012 at 11:42pm — No Comments
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
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…Continue
Added by John A Morrison on May 31, 2012 at 11:36pm — No Comments
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…
Added by Larry Levin on May 31, 2012 at 12:12am — No Comments
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…Continue
Added by Tricia Aanderud on May 30, 2012 at 3:27pm — No Comments
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!
Added by Suzy Tonini on May 30, 2012 at 9:46am — No Comments
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.
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:
Added by Ed Dodds on May 29, 2012 at 3:47pm — No Comments
Added by Alejandro Carrasquero on May 29, 2012 at 8:00am — No Comments
US Training for RapidMiner and RapidAnalytics - http://www.datasciencecentral.com/profiles/blogs/us-training-for-rapidminer-and-rapidanalytics…
Added by Vincent Granville on May 24, 2012 at 5:30pm — No Comments
...Usually such behavior is not proficient to obtain good results, but this time I think that the change of…Continue
Added by Cristian Mesiano on May 23, 2012 at 2:20pm — No Comments
Using Hurricane Forecasts to Adjust Peril Model Loss Probabilities
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 "…Continue
Added by Tricia Aanderud on May 22, 2012 at 4:20am — No Comments
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
Added by John A Morrison on May 19, 2012 at 4:45am — No Comments
Bank of England
Working Paper No. 448
Non-rational expectations and the transmission mechanism
Richard Harrison and Tim Taylor
Added by John A Morrison on May 19, 2012 at 4:30am — No Comments
Here is our weekly selection, with several original articles from Vincent Granville (the Founder).
Added by Vincent Granville on May 18, 2012 at 4:30pm — No Comments
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.
Added by Tricia Aanderud on May 18, 2012 at 5:00am — No Comments
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…Continue
Added by Tricia Aanderud on May 17, 2012 at 4:39am — No Comments
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 - …Continue
Added by Vincent Granville on May 16, 2012 at 11:30pm — No Comments