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~accessRights:"free"
~isPartOf:"CESifo working papers"
~isPartOf:"Discussion paper / Tinbergen Institute"
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~isPartOf:"Discussion paper series / UCL Economics"
~isPartOf:"Discussion papers of interdisciplinary research project 373"
~isPartOf:"Global COE Hi-Stat discussion paper series"
~isPartOf:"Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics"
~isPartOf:"Serie research memoranda / Vrije Universiteit, Faculteit der Economische Wetenschappen en Bedrijfskunde"
~isPartOf:"UCD Geary Institute discussion paper series"
~language:"eng"
~person:"Gautier, Pieter"
~person:"Grassi, Stefano"
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~person:"Nijkamp, Peter"
~subject:"EU-Staaten"
~subject:"Kreditrisiko"
~subject:"Monte-Carlo-Simulation"
~subject:"Schätzung"
~subject:"Statistische Verteilung"
~subject:"USA"
~subject:"United States"
~subject:"Volatilität"
~subject:"Welt"
~subject:"Zustandsraummodell"
~type:"book"
~type_genre:"Collection of articles written by one author"
~type_genre:"Handbuch"
~type_genre:"Non-commercial literature"
~type_genre:"Working Paper"
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ECONIS (ZBW)
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61
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
Saved in:
62
Systemic risk diagnostics
Schwaab, Bernd
;
Lucas, André
;
Koopman, Siem Jan
-
2010
, and the rest of the
world
. Controlling for global,region-specific, and industry effects, we construct coincident measures …
Persistent link: https://www.econbiz.de/10011382067
Saved in:
63
Observation driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, …
-
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/10011383248
Saved in:
64
Numerically accelerated importance sampling for nonlinear non-Gaussian state space models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
-
2012
We introduce a new efficient importance sampler for nonlinear non-Gaussian state space models. We propose a general and efficient likelihood evaluation method for this class of models via the combination of numerical and Monte Carlo integration methods. Our methodology explores the idea that...
Persistent link: https://www.econbiz.de/10011386179
Saved in:
65
Modeling dynamic volatilities and correlations under skewness and fat tails
Zhang, Xin
;
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
-
2011
We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...
Persistent link: https://www.econbiz.de/10011386468
Saved in:
66
Innovation dynamics in space : local actors and local factors
Kangasharju, Aki
;
Nijkamp, Peter
-
1997
This paper addresses the issue of technogenesis and its geographical pattern. It aims to offer both a general analysis framework and a test on innovation data from several European cities. This framework is mainly built on the product life-cycle and the incubation approach. On the basis of this...
Persistent link: https://www.econbiz.de/10010337320
Saved in:
67
Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan
;
Bos, Charles S.
-
2002
Persistent link: https://www.econbiz.de/10001718624
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68
Business and default cycles for credit risk
Koopman, Siem Jan
;
Lucas, André
-
2003
Persistent link: https://www.econbiz.de/10001792714
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69
Tracking growth and the business cycle : a stochastic common cycle model for the euro area
Azevedo, João Valle e
;
Koopman, Siem Jan
;
Rua, António
-
2003
Persistent link: https://www.econbiz.de/10001792789
Saved in:
70
Spline smoothing over difficult regions : a state space approach
Koopman, Siem Jan
;
Wong, Soon Yip
-
2008
Persistent link: https://www.econbiz.de/10003811428
Saved in:
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