Lasse Bork

Aalborg University - Department of Business and Management

Associate Professor

Aalborg, DK-9220

Denmark

http://personprofil.aau.dk/profil/123645?lang=en

  • Aalborg University - Department of Business and Management

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SCHOLARLY PAPERS

7

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20

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19

Scholarly Papers (7)

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1.

Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach

Downloads 492 (90,008)
Citation 3

Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach

CREATES Research Paper 2009-11
Number of pages: 66 Posted: 14 Mar 2009
Lasse Bork
Aalborg University - Department of Business and Management
Downloads 325 (143,467)
Citation 4

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Monetary policy, large cross-sections, factor-augmented vector autoregression, EM algorithm, state space

Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach

Number of pages: 64 Posted: 25 Feb 2009 Last Revised: 26 Feb 2009
Lasse Bork
Aalborg University - Department of Business and Management
Downloads 167 (273,636)
Citation 2

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Monetary policy, large cross-sections, factor-augmented vecor autoregression, EM algorithm, state space

2.

Housing Price Forecastability: A Factor Analysis

EFA 2012 Copenhagen Meetings Paper
Number of pages: 33 Posted: 24 May 2012 Last Revised: 20 Mar 2016
Lasse Bork and Stig Vinther Møller
Aalborg University - Department of Business and Management and Aarhus University - CREATES
Downloads 481 (92,529)
Citation 5

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House prices, Forecasting, Partial least squares, Principal components, Macroeconomic factors

3.

Can Exchange Rates Forecast Commodity Prices? A Reconsideration

Number of pages: 52 Posted: 30 Jul 2014 Last Revised: 06 Feb 2018
Lasse Bork, Pablo Rovira Kaltwasser, Pablo Rovira Kaltwasser and Piet Sercu
Aalborg University - Department of Business and Management, Catholic University of Leuven (KUL)National Bank of Belgium and FEB at KU Leuven
Downloads 345 (135,534)
Citation 3

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Commodity Prices, Exchange Rates, Granger Causality, Forecast, Forecast Combination

4.

A New Index of Housing Sentiment

Number of pages: 39 Posted: 11 Nov 2016 Last Revised: 31 Aug 2017
Lasse Bork, Stig Vinther Møller and Thomas Quistgaard Pedersen
Aalborg University - Department of Business and Management, Aarhus University - CREATES and Aarhus University - CREATES
Downloads 252 (187,532)
Citation 4

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housing sentiment, house price forecastability, partial least squares, dynamic model averaging

5.

Forecasting House Prices in the 50 States Using Dynamic Model Averaging and Dynamic Model Selection

International Journal of Forecasting, Forthcoming
Number of pages: 44 Posted: 29 Jul 2014
Lasse Bork and Stig Vinther Møller
Aalborg University - Department of Business and Management and Aarhus University - CREATES
Downloads 197 (236,573)
Citation 2

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Forecasting housing markets, 50 states, Kalman filtering methods, Model change, Parameter shifts, Boom-bust cycle, Model averaging, Model selection

6.

Identification of Macroeconomic Factors in Large Panels

Downloads 179 (257,461)
Citation 3

Identification of Macroeconomic Factors in Large Panels

CREATES Research Paper No. 2009-43
Number of pages: 45 Posted: 01 Oct 2009
Lasse Bork, Hans Dewachter and Romain Houssa
Aalborg University - Department of Business and Management, Catholic University of Leuven (KUL) - Department of Economics and CRED & CEREFIM, University of Namur
Downloads 101 (402,813)
Citation 5

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Monetary policy, Business Cycles, Factor Models, EM Algorithm

Identification of Macroeconomic Factors in Large Panels

Number of pages: 43 Posted: 23 Nov 2009
Lasse Bork, Hans Dewachter and Romain Houssa
Aalborg University - Department of Business and Management, Catholic University of Leuven (KUL) - Department of Economics and CRED & CEREFIM, University of Namur
Downloads 78 (474,540)
Citation 5

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Monetary policy, Business Cycles, Factor Models, EM Algorithm

7.

A Large-Dimensional Factor Analysis of the Federal Reserve's Large-Scale Asset Purchases

Number of pages: 54 Posted: 16 Jun 2015
Lasse Bork
Aalborg University - Department of Business and Management
Downloads 71 (494,633)

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unconventional monetary policy, zero lower bound, large cross-sections, dynamic factor model, factor-augmented vector autoregression (FAVAR), Expectation-Maximization algorithm