Essays on the application of dynamic factor models in macro-econometrics
Έτος έναρξης: 2020
This research proposal aims to contribute significant empirical applications with respect to the Greek economy in particular with (a) developing a business cycle indicator for the Greek Economy to be computed and published each month. The indicator would be constructed as an assessment of economic activity that is free from short-run fluctuations (b) use a generalized dynamic factor model to disentangle changes in prices due to economy-wide (common) shocks, from changes in prices due to idiosyncratic shocks using disaggregated individual price series from the Greek CPI, that is estimate common and idiosyncratic Inflation (c) macro-financial applications with OECD share price indices or primary Greek Stock Exchange data to estimate and forecast volatilities using the generalized dynamic factor model. (c1) Recovering the common and idiosyncratic components of both levels and log-volatilities to produce volatility forecasts for the various stocks under study and to build one-step-ahead conditional prediction intervals (2) analyse co-movements between returns and between volatilities of stocks from the International financial markets (U.S., European and Japanese) to the Greek financial (stock exchange) market.
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Τελευταία νέα & ανακοινώσεις
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