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~isPartOf:"IEEE transactions on engineering management : EM"
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Search: ("Asia-Pacific" OR "EU" OR "Free trade agreements" OR "Integration" OR "International trade" OR "Latin America" OR "Preferential trade agreements" OR "Regionalism" OR "Trade liberalisation" OR "USA" OR "WTO") AND NOT isPartOf:Intereconomics
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1
Systemic Risk Diagnostics
Schwaab, Bernd
;
Lucas, Andre
;
Koopman, Siem Jan
-
2010
-space methods, we model latent macro-financial and credit risk components for a large data setcomprising the U.S., the
EU
-27 area …
Persistent link: https://www.econbiz.de/10010325790
Saved in:
2
Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis
Brauning, Falk
;
Koopman, Siem Jan
-
2012
We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis. Key economic variables are modeled jointly with principal components from a large time series panel of macroeconomic indicators using a multivariate unobserved components time...
Persistent link: https://www.econbiz.de/10010326452
Saved in:
3
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
Creal, Drew
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, Andre
-
2011
This paper has been accepted for publication in the 'Review of Economics and Statistics'.We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of families of parametric distributions, may be...
Persistent link: https://www.econbiz.de/10010325908
Saved in:
4
Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model
Koopman, Siem Jan
;
van der Wel, Michel
-
2011
We extend the class of dynamic factor yield curve models for the inclusion of macro-economic factors. We benefit from recent developments in the dynamic factor literature for extracting the common factors from a large panel of macroeconomic series and for estimating the parameters in the model....
Persistent link: https://www.econbiz.de/10010325954
Saved in:
5
Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
Koopman, Siem Jan
;
Lucas, Andre
;
Schwaab, Bernd
-
2010
We determine the magnitude and nature of systematic default risk using 1971{2009) default data from Moody's. We disentangle systematic risk factors due to business cycle effects, common default dynamics (frailty), and industry-specific dynamics (including contagion). To quantify the contribution...
Persistent link: https://www.econbiz.de/10010325719
Saved in:
6
Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates
Jungbacker, Borus
;
Koopman, Siem Jan
;
van der Wel, Michel
-
2009
We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor loadings. We further present a statistical procedure based on Wald tests that can be used to find a...
Persistent link: https://www.econbiz.de/10010325734
Saved in:
7
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
Creal, Drew
;
Koopman, Siem Jan
;
Zivot, Eric
-
2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10010325871
Saved in:
8
Forecasting Cross-Sections of Frailty-Correlated Default
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
-
2008
We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by using dynamic factors from a large panel of...
Persistent link: https://www.econbiz.de/10010325922
Saved in:
9
Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model
Koopman, Siem Jan
;
Lit, Rutger
;
Lucas, Andre
-
2015
stock price changes. The likelihood function for our model is analytically intractable and requires Monte Carlo
integration
…
Persistent link: https://www.econbiz.de/10011403534
Saved in:
10
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
Koopman, Siem Jan
;
Lucas, André
;
Daniels, Robert
-
2005
We model 1981–2002 annual US default frequencies for a panel of firms in different rating and age classes. The data is decomposed into a systematic and firm-specific risk component, where the systematic component reflects the general economic conditions and default climate. We have to cope...
Persistent link: https://www.econbiz.de/10010325605
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