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~language:"und"
~person:"Lucas, André"
~person:"Meier, Martin"
~subject:"Distress indicators"
~subject:"multivariate unobserved component models"
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Distress indicators
multivariate unobserved component models
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Lucas, André
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Koopman, Siem Jan
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Schwaab, Bernd
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de Nederlandsche Bank
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1
Nowcasting and forecasting global financial sector stress and credit market dislocation
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
- In:
International Journal of Forecasting
30
(
2014
)
3
,
pp. 741-758
-Gaussian state
space
model with parameters that we estimate using Monte Carlo maximum likelihood methods. We construct measures of …
Persistent link: https://www.econbiz.de/10010786460
Saved in:
2
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
Koopman, Siem Jan
;
Lucas, André
;
Daniels, Robert
-
Tinbergen Instituut
-
2005
) missing observations. We propose a non-Gaussian multivariate state
space
model that deals with all of this issues …
Persistent link: https://www.econbiz.de/10011256141
Saved in:
3
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
Koopman, Siem Jan
;
Lucas, André
;
Daniels, Robert
-
Tinbergen Institute
-
2005
propose a non-Gaussian multivariate state
space
model that deals with all of this issues simultaneously. The model is …
Persistent link: https://www.econbiz.de/10005137260
Saved in:
4
A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
Koopman, Siem Jan
;
Lucas, André
;
Daniels, Robert J.
-
de Nederlandsche Bank
-
2005
, and (v) missing observations. We propose a non-Gaussian ultivariate state
space
model that deals with all of these issues …
Persistent link: https://www.econbiz.de/10005106684
Saved in:
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