Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices
Data
15.09.2022
15.09.2022
Autori
Chiara Casoli (Fondazione Eni Enrico Mattei); Riccardo Lucchetti (Deparment of Economic and Social Sciences, Università Politecnica delle Marche)
Codice JEL
C32, C38, Q02
C32, C38, Q02
Parole chiave:
Cointegration, Dynamic Factor Models, P-T decomposition, Commodity prices co-movement
Cointegration, Dynamic Factor Models, P-T decomposition, Commodity prices co-movement
Publisher
The Econometrics Journal, Vol. 25, N. 2 (May 2022)
The Econometrics Journal, Vol. 25, N. 2 (May 2022)
Editor
Oxford Academic
Oxford Academic
Per ulteriori informazioni sulla pubblicazione, visita la relativa pagina del sito in lingua inglese.