Bridging Dynamic Factor Models and Neural Controlled Differential Equations for Nowcasting GDP

2 code implementations • 13 Sep 2024 • Seonkyu Lim, Jeongwhan Choi, Noseong Park, Sang-Ha Yoon, ShinHyuck Kang, Young-Min Kim, Hyunjoong Kang

However, DFMs face two main challenges: i) the lack of capturing economic uncertainties such as sudden recessions or booms, and ii) the limitation of capturing irregular dynamics from mixed-frequency data.

Irregular Time Series