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The Multi-State Latent Factor Intensity Model for Credit Rating Transitions

Koopman, Siem Jan; Lucas, André; Monteiro, André - Tinbergen Institute - 2005

A new empirical reduced-form model for credit rating transitions is introduced. It is a parametric intensity-based duration model with multiple states and driven by exogenous covariates and latent dynamic factors. The model has a generalized semi-Markov structure designed to accommodate many of...

Persistent link: https://www.econbiz.de/10005137142

Likelihood-based Analysis for Dynamic Factor Models

Jungbacker, Borus; Koopman, Siem Jan - Tinbergen Institute - 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/10005137376

Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models

Mesters, Geert; Koopman, Siem Jan; Ooms, Marius - Tinbergen Institute - 2011

index by univariate and multivariate long-memory stochastic volatility models. …

Persistent link: https://www.econbiz.de/10009144743

Model-based Measurement of Latent Risk in Time Series with Applications

Bijleveld, Frits; Commandeur, Jacques; Gould, Phillip; … - Tinbergen Institute - 2005

Risk is at the center of many policy decisions in companies, governments and other institutions. The risk of road fatalities concerns local governments in planning counter- measures, the risk and severity of counterparty default concerns bank risk managers on a daily basis and the risk of...

Persistent link: https://www.econbiz.de/10005137355

Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area

Azevedo, Joao Valle e; Koopman, Siem Jan; Rua, Antonio - Tinbergen Institute - 2003

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

Persistent link: https://www.econbiz.de/10005137016

Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series

Koopman, Siem Jan; Lee, Kai Ming - Tinbergen Institute - 2005

To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle and irregular components. This can be done by nonparametric band-pass filtering methods in the frequency domain or by model-based decompositions based on autoregressive moving...

Persistent link: https://www.econbiz.de/10005137023

Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment

Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - Tinbergen Institute - 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/10005137026

Convergence in European GDP Series

Luginbuhl, Rob; Koopman, Siem Jan - Tinbergen Institute - 2003

Convergence in gross domestic product series of five European countries is empirically identified using multivariate time series models that are based on unobserved components with dynamic converging properties. We define convergence in terms of a decrease in dispersion over time and model this...

Persistent link: https://www.econbiz.de/10005137043

The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - Tinbergen Institute - 2008

accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

Persistent link: https://www.econbiz.de/10005137091

Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series

Koopman, Siem Jan; Wong, Soon Yip - Tinbergen Institute - 2006

A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...

Persistent link: https://www.econbiz.de/10005137378