//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Academic 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:"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"
~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:"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
| 24 applied filters
Year of publication
From:
To:
Subject
All
EU-Staaten
Kreditrisiko
Monte-Carlo-Simulation
Schätzung
Statistische Verteilung
USA
United States
Volatilität
Zustandsraummodell
Theorie
179
Theory
179
Time series analysis
56
Zeitreihenanalyse
56
State space model
39
Estimation
34
Stochastic process
27
Stochastischer Prozess
27
Monte Carlo simulation
23
Volatility
21
Welt
20
World
20
Maximum likelihood estimation
19
Maximum-Likelihood-Schätzung
19
Forecasting model
18
Prognoseverfahren
18
Arbeitslosigkeit
14
Unemployment
14
Regional economics
13
Regionalökonomik
13
Cointegration
12
Kointegration
12
Business cycle
11
Konjunktur
11
Meta-Analyse
10
Meta-analysis
10
Pollution
10
Search theory
10
Suchtheorie
10
Umweltbelastung
10
Credit risk
9
Einheitswurzeltest
9
Markov chain
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
95
Working Paper
95
Graue Literatur
91
Konferenzschrift
1
Language
All
English
Author
All
Gautier, Pieter
Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Nijkamp, Peter
Lucas, André
41
Dijk, Herman K. van
33
Hoogerheide, Lennart
21
McAleer, Michael
19
Bos, Charles S.
16
Vries, Casper G. de
13
Dijk, Dick van
12
Groot, Henri L. F. de
10
Wijnbergen, Sweder van
10
Blasques, Francisco
9
Paap, Richard
9
Teulings, Coen N.
9
Basturk, Nalan
8
Hinloopen, Jeroen
8
Marrewijk, Charles van
8
Schwaab, Bernd
8
Diks, Cees G. H.
7
Ooms, Marius
7
Opschoor, Anne
7
Ardia, David
6
Gooijer, Jan G. de
6
Grassi, Stefano
6
Hommes, Cars H.
6
Wel, Michel van der
6
Casarin, Roberto
5
Creal, Drew
5
Florax, Raymond J. G. M.
5
Giesecke, Kay
5
Härdle, Wolfgang
5
Jungbacker, Borus
5
Klaassen, Franc
5
Ommeren, Jos van
5
Praag, Bernard M. S. van
5
Ravazzolo, Francesco
5
Ridder, Ad
5
Scharth, Marcel
5
Allen, David E.
4
more ...
less ...
Institution
All
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
9
Published in...
All
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
CESifo working papers
16
Discussion paper series / IZA
16
Economics and finance working paper series
13
Working paper / National Bureau of Economic Research, Inc.
9
Discussion papers / Deutsches Institut für Wirtschaftsforschung
7
CEMMAP working papers / Centre for Microdata Methods and Practice
3
Working paper series / European Central Bank
3
Department of Economics working papers
2
Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics
2
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
Research memoranda / Vrije Universiteit, Faculteit der Economische Wetenschappen en Bedrijfskunde
1
Sheffield economic research paper series
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 paper / Norges Bank
1
Working papers / Federal Reserve Bank of Boston
1
Working papers / University of Connecticut, Department of Economics
1
ZEW discussion papers
1
more ...
less ...
Source
All
ECONIS (ZBW)
91
Showing
41
-
50
of
91
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
41
Likelihood functions for state space models with diffuse initial conditions
Francke, Marc K.
;
Koopman, Siem Jan
;
Vos, Aart F. de
-
2008
Persistent link: https://www.econbiz.de/10003706020
Saved in:
42
Model-based business cycle and financial cycle decomposition for Europe and the U.S.
Koopman, Siem Jan
;
Lit, Rutger
;
Lucas, André
-
2016
We develop a multivariate unobserved components model to extract business cycle and financial cycle indicators from a panel of economic and financial time series of four large developed economies. Our model is flexible and allows for the inclusion of cycle components in different selections of...
Persistent link: https://www.econbiz.de/10011520505
Saved in:
43
The stochastic volatility in mean model
Koopman, Siem Jan
;
Hol Uspensky, Eugenie
-
2000
In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...
Persistent link: https://www.econbiz.de/10011303314
Saved in:
44
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:
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
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
Koopman, Siem Jan
;
Wel, Michel van der
-
2011
We extend the class of dynamic factor yield curve models for the inclusion of macro-economic factors. We benefit from recent developments in the dynamic factor literature for extracting the common factors from a large panel of macroeconomic series and for estimating the parameters in the model....
Persistent link: https://www.econbiz.de/10011386428
Saved in:
47
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:
48
Periodic unobserved cycles in seasonal time series with an application to US unemployment
Koopman, Siem Jan
;
Ooms, Marius
;
Hindrayanto, Irma
-
2006
This paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic trend, seasonal and cycle components. Convenient state space formulations are introduced for exact maximum likelihood...
Persistent link: https://www.econbiz.de/10011350384
Saved in:
49
Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model
Koopman, Siem Jan
;
Lucas, André
;
Ooms, Marius
; …
-
2007
We model panel data of crime careers of juveniles from a Dutch Judicial Juvenile Institution. The data are decomposed into a systematic and an individual-specific component, of which the systematic component reflects the general time-varying conditions including the criminological climate....
Persistent link: https://www.econbiz.de/10011372520
Saved in:
50
Likelihood-based analysis for dynamic factor models
Jungbacker, Borus
;
Koopman, Siem Jan
-
2008
We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...
Persistent link: https://www.econbiz.de/10011373811
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...
//-->