Forecasting with dynamic factor models: an empirical exercise
Scalcione, Edoardo (A.A. 2021/2022) Forecasting with dynamic factor models: an empirical exercise. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Franco Peracchi, pp. 77. [Master's Degree Thesis]
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Abstract/Index
Dynamic factor models: theory. SW model. FHLR model. SW vs FHLR: nesting the models. The empirical exercise. Data description. In-sample analysis. Forecasting exercise. The role of data selection.
References
Bibliografia: pp. 42-43.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Econometric theory |
| Thesis Supervisor: | Peracchi, Franco |
| Thesis Co-Supervisor: | Proietti, Tommaso |
| Academic Year: | 2021/2022 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 29 Sep 2022 13:09 |
| Last Modified: | 29 Sep 2022 13:09 |
| URI: | https://tesi.luiss.it/id/eprint/33501 |
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