In this paper, we first utilize a dynamic factor model with stochastic volatility (DFM-SV) to filter out the national factor from the local components of weekly state-level economic conditions indexes of the United States ...
Gupta, Rangan; Ma, Jun; Risse, Marian; Wohar, Mark E.(Elsevier, 2018-09)
This paper analyses the role of a news-based measure of economic policy uncertainty (EPU) in explaining time-varying co-movements in economic activity and volatility of 48 US states and 51 largest MSAs. In this regard, we, ...
We use a time-varying parameter dynamic factor model with stochastic volatility estimated using Bayesian methods to disentangle the relative importance of the common component in Federal Housing Finance Agency house price ...
