Lasse Bork

Aalborg University - Department of Business and Management

Associate Professor

Aalborg, DK-9220

Denmark

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

SCHOLARLY PAPERS

7

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4

Scholarly Papers (7)

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 416 (64,078)

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

Housing Price Forecastability: A Factor Analysis

Real Estate Economics, Vol. 46, Issue 3, pp. 582-611, 2018
Number of pages: 30 Posted: 20 Aug 2018
Lasse Bork and Stig Vinther Møller
Aalborg University - Department of Business and Management and Aarhus University - CREATES
Downloads 2 (623,693)
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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 257 (110,562)
Citation 1

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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 123 (215,676)
Citation 1

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

3.

Can Exchange Rates Forecast Commodity Prices? A Reconsideration

Number of pages: 52 Posted: 30 Jul 2014 Last Revised: 06 Feb 2018
Aalborg University - Department of Business and Management, Catholic University of Leuven (KUL) and FEB at KU Leuven
Downloads 227 (126,017)

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

4.

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 146 (187,478)

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

5.

A New Index of Housing Sentiment

Number of pages: 39 Posted: 11 Nov 2016 Last Revised: 31 Aug 2017
Aalborg University - Department of Business and Management, Aarhus University - CREATES and Aarhus University - CREATES
Downloads 133 (202,081)

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

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 76 (298,529)
Citation 3

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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 41 (403,523)
Citation 3

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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 48 (371,682)

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