Search results for "Dynamic factor"
showing 8 items of 8 documents
Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis
2009
Abstract In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding the currency crisis events affecting a number of East Asian countries during the 1997–1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.
A Dynamic Factor Analysis of Financial Contagion in Asia
2003
In this paper we compared the performance of country speci…c and regional indicators of reserve adequacy in predicting, out of sample,
Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis
2009
In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding the currency crisis events affecting a number of East Asian countries during the 1997-1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.
Factores dinámicos en el comportamiento de delincuentes juveniles con perfil de ajuste social. Un estudio de reincidencia
2017
RESUMEN Este estudio tiene por objeto evaluar el riesgo de reincidencia, analizando el impacto de los factores dinámicos en adolescentes en conflicto con la ley (ACL). Para ello, se evalúa una muestra de 157 ACL con perfil de ajuste social mediante el instrumento para la evaluación del riesgo de violencia de adolescentes Structured Assesment of Violence Risk in Youth (SAVRY), además de otras técnicas de análisis cualitativo que triangulan el proceso empírico. Por un lado, destaca que la amplia estructura relacional y la vinculación intermitente con redes formales e informales de aprendizaje y empleo de que disponen los ACL con perfil de ajuste estiman un buen nivel de ajuste futuro y una ba…
Co-movement of public spending in the G7
2010
Abstract The size of government in the G7 countries in the last fifty years follows a common pattern (see the left panel of Fig. 1 below): it grows in the first three decades, and then turns flat at the beginning of the nineties, for all countries alike. We highlight this common pattern in a dynamic factor model, and argue that a satisfactory explanation for it would be desirable.
Forecasting industry sector default rates through dynamic factor models
2008
In this paper we use a reduced-form model for the analysis of portfolio credit risk. For this purpose, we fit a dynamic factor model to a large data set of default rate proxies and macro-variables for Italy. Multiple step ahead density and probability forecasts are obtained by employing both the direct and indirect methods of prediction together with stochastic simulation of the dynamic factor model. We first find that the direct method is the best performer regarding the out-of-sample projection of financial distressful events. In a second stage of the analysis, we find that reducedform portfolio credit risk measures obtained through the dynamic factor model are lower than those correspond…
Bridging scales with thermodynamics: from nano to macro
2014
We have recently developed a method to calculate thermodynamic properties of macroscopic systems by extrapolating properties of systems of molecular dimensions. Appropriate scaling laws for small systems were derived using the method for small systems thermodynamics of Hill, considering surface and nook energies in small systems of varying sizes. Given certain conditions, Hill's method provides the same systematic basis for small systems as conventional thermodynamics does for large systems. We show how the method can be used to compute thermodynamic data for the macroscopic limit from knowledge of fluctuations in the small system. The rapid and precise method offers an alternative to curre…
Revisiting the Solid Flux Theory
2022
Several variations of the basic activated sludge process and of the related design procedures for final clarifiers have been developed, which are frequently based on the well-known solid flux theory (SFT). In this paper, by using the Lambert W function and a “virtual” solid flux corresponding to the Vesilind parameters’ ratio, the SFT is reformulated, and dimensionless groups are detected, which highly reduce the number of parameters that are involved in the final clarifiers’ design procedure. The derived dimensionless relationships and the corresponding plots have general validity since they can be applied to all the possible design/verification parameter combinatio…