A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis

Florian Huber*, Michael Pfarrhofer, Philipp Piribauer

*Corresponding author for this work

Research output: Contribution to journalArticle

Original languageEnglish
Pages (from-to)911-926
Number of pages16
JournalJournal of Forecasting
Volume39
Issue number6
Early online date18 Jan 2020
DOIs
Publication statusPublished - 1 Sep 2020

Fields of Science and Technology Classification 2012

  • 502 Economics

Keywords

  • dynamic factor model
  • European business cycles
  • factor stochastic volatility
  • inflation forecasting

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