Now showing items 31-40 of 1490
Dynamic Semiparametric Factor Model with a Common Break
For change-point analysis of high dimensional time series, we consider a semiparametric model with dynamic structural break factors. The observations are described by a few low dimensional factors with time-invariate loading ...
Social Security Contributions and the Business Cycle
This paper examines magnitudes and business cycle dynamics of social security contributions (SSC). In most OECD countries studied, we document a negative covariation of payroll tax burdens with GDP and GDP growth at business ...
Penalized Adaptive Method in Forecasting with Large Information Set and Structure Change
In the present paper we propose a new method, the Penalized Adaptive Method (PAM), for a data driven detection of structure changes in sparse linear models. The method is able to allocate the longest homogeneous intervals ...
Multivariate Factorisable Sparse Asymmetric Least Squares Regression
More and more data are observed in form of curves. Numerous applications in finance, neuroeconomics, demographics and also weather and climate analysis make it necessary to extract common patterns and prompt joint modelling ...
Dynamic credit default swaps curves in a network topology
Systemically important banks are connected and have dynamic dependencies of their default probabilities. An extraction of default factors from cross-sectional credit default swaps (CDS) curves allows to analyze the shape ...