| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5652 |
| DP5652 Selecting Copulas for Risk Management | |
| Kees Koedijk; Marno Verbeek; Erik Kole | |
| 发表日期 | 2006-04-19 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | The estimation of structural dynamic factor models (DFMs) for large sets of variables is attracting considerable attention. In this paper we briefly review the underlying theory and then compare the impulse response functions resulting from two alternative estimation methods for the DFM. Finally, as an example, we reconsider the issue of the identification of the driving forces of the US economy, using data for about 150 macroeconomic variables. |
| 主题 | International Macroeconomics |
| 关键词 | Factor models Principal components Subspace algorithms Structural identification Structural var |
| URL | https://cepr.org/publications/dp5652 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534489 |
| 推荐引用方式 GB/T 7714 | Kees Koedijk,Marno Verbeek,Erik Kole. DP5652 Selecting Copulas for Risk Management. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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