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~isPartOf:"Journal of applied econometrics"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of empirical finance"
~subject:"ARCH-Modell"
~subject:"Credit risk"
~subject:"Portfolio-Management"
~subject:"Theorie"
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Lucas, André
16
Koopman, Siem Jan
9
Schwaab, Bernd
3
Monteiro, André Antonio
2
Abadir, Karim Maher
1
Barra, István
1
Blasques, Francisco
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Boswijk, Herman Peter
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Creal, Drew
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D'Innocenzo, Enzo
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Dijk, Dick van
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Dijk, Ronald van
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Janus, Paweł
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Journal of applied econometrics
Journal of econometrics
Journal of empirical finance
Discussion paper / Tinbergen Institute
87
Working paper series / European Central Bank
8
International journal of forecasting
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
CFS working paper series
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Discussion paper / Tinbergen Institute / Tinbergen Institute
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Journal of banking & finance
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Sveriges Riksbank working paper series
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Report / Erasmus Center for Financial Research, Erasmus University
3
Applied mathematical finance
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Discussion papers in statistics and econometrics
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Journal of financial and quantitative analysis : JFQA
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Report / Econometric Institute, Erasmus University Rotterdam
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Rotterdams Instituut voor Bedrijfseconomische Studies : RIBES
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The review of economics and statistics
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Applying Kernel and nonparametric estimation to economic topics
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Auditing : a journal of practice & theory
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Economisch en sociaal tijdschrift : een driemaandelijke uitgave van de Universitaire Faculteiten Sint-Ignatius te Antwerpen
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Finance research letters
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Global COE Hi-Stat discussion paper series
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International journal of applied econometrics and quantitative studies : IJAEQS
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Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
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Report / Econometric Institute, Erasmus University, Rotterdam / Econometric Institute, Erasmus University Rotterdam
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ECONIS (ZBW)
16
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16
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1
Heterogeneity and dynamics in network models
D'Innocenzo, Enzo
;
Lucas, André
;
Opschoor, Anne
; …
- In:
Journal of applied econometrics
39
(
2024
)
1
,
pp. 150-173
Persistent link: https://www.econbiz.de/10014474448
Saved in:
2
Modeling financial sector joint tail risk in the Euro Area
Lucas, André
;
Schwaab, Bernd
;
Zhang, Xin
- In:
Journal of applied econometrics
32
(
2017
)
1
,
pp. 171-191
Persistent link: https://www.econbiz.de/10011688510
Saved in:
3
Global credit risk : world, country and industry factors
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of applied econometrics
32
(
2017
)
2
,
pp. 296-317
Persistent link: https://www.econbiz.de/10011689783
Saved in:
4
Joint Bayesian analysis of oarameters and states in nonlinear non‐Gaussian state space models
Barra, István
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
; …
- In:
Journal of applied econometrics
32
(
2017
)
5
,
pp. 1003-1026
Persistent link: https://www.econbiz.de/10011862307
Saved in:
5
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
- In:
Journal of econometrics
195
(
2016
)
2
,
pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
Saved in:
6
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
7
Generalized autoregressive score models with applications
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of applied econometrics
28
(
2013
)
5
,
pp. 777-795
Persistent link: https://www.econbiz.de/10010351100
Saved in:
8
Modeling frailty-correlated defaults using many macroeconomic covariates
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
- In:
Journal of econometrics
162
(
2011
)
2
,
pp. 312-325
Persistent link: https://www.econbiz.de/10009270628
Saved in:
9
Credit cycles and macro fundamentals
Koopman, Siem Jan
;
Kräussl, Roman
;
Lucas, André
; …
- In:
Journal of empirical finance
16
(
2009
)
1
,
pp. 42-54
Persistent link: https://www.econbiz.de/10003800184
Saved in:
10
The multi-state latent factor intensity model for credit rating transitions
Koopman, Siem Jan
;
Lucas, André
;
Monteiro, André Antonio
- In:
Journal of econometrics
142
(
2008
)
1
,
pp. 399-424
Persistent link: https://www.econbiz.de/10003608208
Saved in:
1
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