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Time series models with a common stochastic variance for analysing economic time series

Koopman, Siem Jan; Bos, Charles S. - 2002

The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...

Persistent link: https://www.econbiz.de/10011327834

Speed choice, car following theory and congestion tolling

Rouwendal, Jan - 2002 - This version: September 25, 2002

This paper provides a link between car following theory and the economic theoryof road congestion by means of a theory … of speed choice. According to this theory speedchoice is based on a trade-off between the benefits (shorter travel time … elaborating this relationship a number of car-following models can be derived fromthis theory of speed choice. Wit homogeneous …

Persistent link: https://www.econbiz.de/10011327845

In-sample bounds for time-varying parameters of observation driven models

Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - 2015

We study the performance of two analytical methods and one simulation method for computing in-sample confidence bounds for time-varying parameters. These in-sample bounds are designed to reflect parameter uncertainty in the associated filter. They are applicable to the complete class of...

Persistent link: https://www.econbiz.de/10010484891

Spillover dynamics for systemic risk measurement using spatial financial time series models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

Persistent link: https://www.econbiz.de/10010391531

Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P. - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10010391543

Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective

Koopman, Siem Jan; Lucas, André; 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/10011379607

Models with time-varying mean and variance : a robust analysis of US industrial production

Bos, Charles S.; Koopman, Siem Jan - 2010

Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions...

Persistent link: https://www.econbiz.de/10011379641

Modeling trigonometric seasonal components for monthly economic time series

Hindrayanto, Irma; Aston, John A.D.; Koopman, Siem Jan; … - 2010

The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this paper we explore a generalisation of the basic structural time series model in which the time-varying trigonometric terms associated with different seasonal...

Persistent link: https://www.econbiz.de/10011379642

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...

Persistent link: https://www.econbiz.de/10011380135

Do firms sell forward for strategic reasons? : an application to the wholesale market for natural gas

Eijkel, Remco van; Moraga-González, José Luis - 2010

Building on a model of the interaction of risk-averse frms that compete in forward and spot markets, we develop an empirical strategy to test whether oligopolistic frms use forward contracts for strategic motives, for risk-hedging, or for both. An increase in the number of players weakens the...

Persistent link: https://www.econbiz.de/10011380799