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PART I
METHODOLOGY
AN OVERVIEW OF THE FACTOR-AUGMENTED ERROR-CORRECTION
MODEL
Anindya Banerjee, Massimiliano Marcellino and Igor Masten
ESTIMATION OF VAR SYSTEMS FROM MIXED-FREQUENCY DATA: THE
STOCK AND THE FLOW CASE
Lukas Koelbl, Alexander Braumann, Elisabeth Felsenstein and
Manfred Deistler
MODELING YIELDS AT THE ZERO LOWER BOUND: ARE SHADOW
RATES THE SOLUTION?
Jens H. E. Christensen and Glenn D. Rudebusch
DYNAMIC FACTOR MODELS FOR THE VOLATILITY SURFACE
Michel van der Wel, Sait R. Ozturk and Dick van Dijle

PART II
FACTOR STRUCTURE AND SPECIFICATION
ANALYZING INTERNATIONAL BUSINESS AND FINANCIAL CYCLES
USING MULTI-LEVEL FACTOR MODELS: A COMPARISON OF
ALTERNATIVE APPROACHES
JorgBreitung and Sandra Eickmeier
FAST ML ESTIMATION OF DYNAMIC BIFACTOR MODELS: AN
APPLICATION TO EUROPEAN INFLATION
Gabriele Fiorentini, Alessandro Galesi and Enrique Sentana
COUNTRY SHOCKS, MONETARY POLICY EXPECTATIONS AND ECB
DECISIONS. A DYNAMIC NON-LINEAR APPROACH
Maximo Camacho, Danilo Leiva-Leon and Gabriel Perez-Quiros
MODELLING FINANCIAL MARKETS COMOVEMENTS DURING CRISES
DYNAMIC MULTI-FACTOR APPROACH
Martin Belvisi and Riccardo Pianeti and Giovanni Urga
SPECIFICATION AND ESTIMATION OF BAYESIAN DYNAMIC FACTOR
MODELS: A MONTE CARLO ANALYSIS WITH AN APPLICATION TO
GLOBAL HOUSE PRICE COMOVEMENT
Laura E. Jackson, M. Ayhan Kose, Christopher Otrolz and Michael
Owyang
SMALL- VERSUS BIG-DATA FACTOR EXTRACTION IN DYNAMIC
FACTOR MODELS: AN EMPIRICAL ASSESSMENT AND PILAR PONCELA
Esther Ruiz

PART III
INSTABILITY
REGULARIZED ESTIMATION OF STRUCTURAL INSTABILITY IN
FACTOR MODELS: THE US MACROECONOMY AND THE GREAT
MODERATION
Laurent Callot andJohannes Tang Kristensen
DATING BUSINESS CYCLE TURNING POINTS FOR THE FRENCH
ECONOMY: AN MS-DFM APPROACH
Catherine D02 and Anna Petronevich
COMMON FAITH OR PARTING WAYS? A TIME VARYING PARAMETERS
FACTOR ANALYSIS OF EURO-AREA INFLATION
Davide Delle Monache, Ivan Petrella and Fabrizio Venditti

PART IV
NOWCASTING AND FORECASTING
NOWCASTING BUSINESS CYCLES: A BAYESIAN APPROACH TO
DYNAMIC HETEROGENEOUS FACTOR MODELS
Antonello D’Agostino, Domenico Giannone, Michele Lenza and
Michele Modugno
ON THE SELECTION OF COMMON FACTORS FOR MACROECONOMIC
FORECASTING
Alessandro Giovannelli and Tommaso Proietti
ON THE DESIGN OF DATA SETS FOR FORECASTING WITH DYNAMIC
FACTOR MODELS
Gerhard Riinstler

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