//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~accessRights:"free"
~isPartOf:"CESifo working papers"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion paper series / LSE Financial Markets Group"
~isPartOf:"Discussion papers of interdisciplinary research project 373"
~isPartOf:"Global COE Hi-Stat discussion paper series"
~language:"eng"
~person:"Gautier, Pieter"
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~subject:"EU-Staaten"
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Schätzung"
~subject:"Simulation"
~subject:"Statistische Verteilung"
~subject:"USA"
~subject:"United States"
~subject:"Volatilität"
~subject:"Zustandsraummodell"
~type:"book"
~type_genre:"Collection of articles written by one author"
~type_genre:"Handbuch"
~type_genre:"Non-commercial literature"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Bounded rationality and compet...
Similar by subject
Narrow search
Delete all filters
| 25 applied filters
Year of publication
From:
To:
Subject
All
EU-Staaten
Kreditrisiko
Maximum-Likelihood-Schätzung
Schätzung
Simulation
Statistische Verteilung
USA
United States
Volatilität
Zustandsraummodell
Theorie
132
Theory
132
Time series analysis
74
Zeitreihenanalyse
74
State space model
43
Estimation
33
Stochastic process
32
Stochastischer Prozess
32
Volatility
26
Monte Carlo simulation
23
Monte-Carlo-Simulation
23
Maximum likelihood estimation
19
Forecasting model
18
Prognoseverfahren
18
Search theory
14
Suchtheorie
14
fractional integration
14
Business cycle
12
Konjunktur
12
Welt
12
World
12
Börsenkurs
11
Share price
11
Credit risk
10
Factor analysis
10
Faktorenanalyse
10
Kalman filter
10
long memory
10
persistence
10
ARCH model
9
ARCH-Modell
9
Arbeitslosigkeit
9
more ...
less ...
Online availability
All
Free
Type of publication
All
Book / Working Paper
Type of publication (narrower categories)
All
Collection of articles written by one author
Handbuch
Non-commercial literature
Arbeitspapier
99
Working Paper
99
Graue Literatur
96
Language
All
English
Author
All
Gautier, Pieter
Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Lucas, André
44
Caporale, Guglielmo Maria
29
Dijk, Herman K. van
28
McAleer, Michael
20
Pesaran, M. Hashem
20
Hoogerheide, Lennart
17
Teulings, Coen N.
15
Blasques, Francisco
14
Vries, Casper G. de
14
Bos, Charles S.
13
Groot, Henri L. F. de
11
Nijkamp, Peter
11
Hinloopen, Jeroen
10
Larch, Mario
10
Marrewijk, Charles van
10
Wijnbergen, Sweder van
10
Dijk, Dick van
9
Hommes, Cars H.
9
Philippopulos, Apostolēs
9
Yotov, Yoto
9
Creal, Drew
8
Egger, Peter
8
Malley, James R.
8
Mooij, Ruud A. de
8
Opschoor, Anne
8
Woessmann, Ludger
8
Berger, Helge
7
Cheung, Yin-Wong
7
Ooms, Marius
7
Schneider, Friedrich
7
Schwaab, Bernd
7
Yotov, Yoto V.
7
Anderl, Christina
6
Diks, Cees G. H.
6
Fuest, Clemens
6
Giesecke, Kay
6
Klaassen, Franc
6
MacDonald, Ronald
6
more ...
less ...
Institution
All
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
7
Published in...
All
CESifo working papers
Discussion paper / Tinbergen Institute
Discussion paper series / LSE Financial Markets Group
Discussion papers of interdisciplinary research project 373
Global COE Hi-Stat discussion paper series
Discussion paper series / IZA
16
Economics and finance working paper series
14
Working paper / National Bureau of Economic Research, Inc.
10
CEMMAP working papers / Centre for Microdata Methods and Practice
4
Discussion papers / Deutsches Institut für Wirtschaftsforschung
4
Department of Economics working papers
2
Working paper series / European Central Bank
2
CREATES research paper
1
Department of Economics working paper series
1
Discussion paper / Statistics Netherlands
1
Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit
1
Discussion paper series / UCL Economics
1
Estudos e documentos de trabalho
1
HWWA discussion paper
1
Sheffield economic research paper series
1
Study paper
1
Technical working paper / National Bureau of Economic Research
1
UCD Geary Institute discussion paper series
1
Working paper / Austrian Center for Labor Economics and the Analysis of the Welfare State
1
Working paper / IFAU - Institute for Labour Market Policy Evaluation
1
Working papers / Federal Reserve Bank of Boston
1
ZEW discussion papers
1
more ...
less ...
Source
All
ECONIS (ZBW)
96
Showing
41
-
50
of
96
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
41
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
Saved in:
42
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:
43
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:
44
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:
45
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:
46
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:
47
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
Saved in:
48
Business and default cycles for credit risk
Koopman, Siem Jan
;
Lucas, André
-
2003
Persistent link: https://www.econbiz.de/10001792714
Saved in:
49
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:
50
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:
First
Prev
1
2
3
4
5
6
7
8
9
10
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->