WALS Estimation and Forecasting in Factor-Based Dynamic Models with an Application to Armenia

Functional Dynamic Factor Models with Application to Yield Curve Forecasting

Accurate forecasting of zero coupon bond yields for a continuum of maturities is paramount to bond portfolio management and derivative security pricing. Yet a universal model for yield curve forecasting has been elusive, and prior attempts often resulted in a trade-off between goodness of fit and consistency with economic theory. To address this, herein we propose a novel formulation which conn...

Forecasting with dynamic factor models

The validity of previous findings that dynamic factor models are useful for macroeconomic forecasting is of great importance for subsequent studies which use these models not only as a starting point for further developments but also as a benchmark for the evaluation of the forecasting performance of these further developments. Reanalyzing a standard macroeconomic dataset, we do not find any ev...

An Application to Forecasting in Dynamic Models Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models

Over time, economic statistics are refined. This means that newer data is typically less well measured than old data. Time variation in measurement error like this influences how forecasts should be made. We show how modelling the behaviour of the statistics agency generates both an estimate of this time variation and an estimate of the absolute amount of uncertainty in the data. We apply the m...

Forecasting in Dynamic Factor Models Subject to Structural Instability

a new type-ii fuzzy logic based controller for non-linear dynamical systems with application to 3-psp parallel robot

abstract type-ii fuzzy logic has shown its superiority over traditional fuzzy logic when dealing with uncertainty. type-ii fuzzy logic controllers are however newer and more promising approaches that have been recently applied to various fields due to their significant contribution especially when the noise (as an important instance of uncertainty) emerges. during the design of type- i fuz...