CEIS-Tor Vergata is pleased to inform you that, on Friday May 30th, 2014 at 12.00 pm, Daniele Massacci (EIEF) will present a paper on “Large Dimensional Regime Switching Factor Models†ABSTRACT This paper proposes a novel large dimensional regime switching factor model in which the regimes change according to the threshold principle: the shift is driven by a variable parameterised as a linear combination of the elements of a vector of covariates. The paper considers nonparametric principal components estimation of the latent factors and factor loadings; and concentrated least squares estimation of the remaining set of parameters. The asymptotic properties of the estimator are derived and the good finite sample performance is shown in a comprehensive Monte Carlo analysis. Finally, an extensive empirical application focuses on the links between financial markets and the real economy: the results show that nonlinear dynamics in the joint distribution of a large panel of U.S. macroeconomic variables may be anticipated by changes in the conditional distribution of stock returns as described by conditional volatility and higher order moments; and the regimes identified by the model are related to the business cycle reference dates provided by the NBER. The empirical results therefore suggest that the conditional distribution of stock returns is a potential leading indicator of economic activity.​ The Seminar will be held at the Faculty of Economics, University of Rome "Tor Vergata", B-building, 1° floor, room B Please, go to www.ceistorvergata.it for the complete list of seminars and events at CEIS. How to reach us: http://web.uniroma2.it/mobilita/index.html http://www.economia.uniroma2.it/area.asp?a=867 Barbara Piazzi __________ Informazioni da ESET NOD32 Antivirus, versione del database delle firme digitali 9850 (20140526) __________ Il messaggio è stato controllato da ESET NOD32 Antivirus. www.nod32.it |
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