Antoine Djogbenou
Biographic Data
| ID | 8920443 |
|---|---|
| NAME | Antoine Djogbenou |
| GIVEN NAMES | Antoine |
| FAMILY NAME | Djogbenou |
| SIGNATURE | DJOGBENOU A |
| AFFILIATIONS | York University |
| ORCID | 0000-0001-5645-3824 |
| VERIFIED | Yes |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 3 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2017 |
| LATEST PUBLICATION YEAR | 2024 |
| H-INDEX | 0 |
Identifying oil price shocks with global, developed, and emerging latent real economy activity factors
This paper proposes an identification strategy for international oil price shocks while accounting for the heterogeneous sources of oil demand from global, developed, and emerging economies. Unlike existing works, we isolate global oil demand shocks, associated with a global real economic activity factor, from oil demand shocks originating specifically from developed and emerging economies, associated with real economic activity factors within th…
Comovements in the real activity of developed and emerging economies
Although globalization has shaped the world economy in recent decades, emerging economies have experienced impressive growth compared to developed economies, suggesting specific comovements within developed and emerging business cycles. Using observed developed and emerging real economy activity variables, we investigate whether the latter assertion can be supported by observed data. Based on a two‐level factor model, we assume these activity var…
Bootstrap Prediction Intervals for Factor Models
We propose bootstrap prediction intervals for an observation h periods into the future and its conditional mean. We assume that these forecasts are made using a set of factors extracted from a large panel of variables. Because we treat these factors as latent, our forecasts depend both on estimated factors and estimated regression coefficients. Under regularity conditions, asymptotic intervals have been shown to be valid under Gaussianity of the …
No prominent works on this page.
Bootstrap Prediction Intervals for Factor Models
We propose bootstrap prediction intervals for an observation h periods into the future and its conditional mean. We assume that these forecasts are made using a set of factors extracted from a large panel of variables. Because we treat these factors as latent, our forecasts depend both on estimated factors and estimated regression coefficients. Under regularity conditions, asymptotic intervals have been shown to be valid under Gaussianity of the …
Comovements in the real activity of developed and emerging economies
Although globalization has shaped the world economy in recent decades, emerging economies have experienced impressive growth compared to developed economies, suggesting specific comovements within developed and emerging business cycles. Using observed developed and emerging real economy activity variables, we investigate whether the latter assertion can be supported by observed data. Based on a two‐level factor model, we assume these activity var…
Identifying oil price shocks with global, developed, and emerging latent real economy activity factors
This paper proposes an identification strategy for international oil price shocks while accounting for the heterogeneous sources of oil demand from global, developed, and emerging economies. Unlike existing works, we isolate global oil demand shocks, associated with a global real economic activity factor, from oil demand shocks originating specifically from developed and emerging economies, associated with real economic activity factors within th…
Econometrics (3 works) · Computer Science (2 works) · Economics (2 works) · Emerging markets (2 works) · Macroeconomics (2 works) · Market Dynamics and Volatility (2 works) · Mathematics (2 works) · Monetary Policy and Economic Impact (2 works) · Statistics (2 works) · Assertion (1 work)