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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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.


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


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