Nowcasting with Dynamic Factor Model and Real-Time Vintage Data: A financial market actor's perspective
We develop and examine a dynamic factor nowcasting model (DFM) from the perspective of a financial market participant. The first point of analysis is the examination of its performance. Unlike other papers, we evaluate with daily frequency so that the performance metric reflects a continuous nowcasting signal. Secondly, we examine the effect of using real-time vintage data which avoids look-ahead
