//--> //--> //--> //-->
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
~isPartOf:"Arbeitspapier / Institut für Volkswirtschaftslehre, Sozial- und Wirtschaftswissenschaftliche Fakultät, Johannes-Kepler-Universität, Linz,"
~isPartOf:"Boston College working papers in economics"
~isPartOf:"CEMFI working paper"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion papers / Deutsches Institut für Wirtschaftsforschung"
~isPartOf:"Discussion papers / The Centre for International Macroeconomics"
~isPartOf:"EUI working paper / ECO"
~language:"eng"
~person:"Basu, Susanto"
~person:"Daníelsson, Jón"
~person:"Dreher, Axel"
~person:"Gil-Alaña, Luis A."
~person:"Hommes, Cars H."
~person:"Koopman, Siem Jan"
~person:"Praag, Bernard M. S. van"
~subject:"Credit risk"
~subject:"Konjunkturtheorie"
~subject:"Maximum likelihood estimation"
~subject:"Schätzung"
~subject:"Simulation"
~subject:"USA"
~type_genre:"Arbeitspapier"
~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
| 26 applied filters
Year of publication
From:
To:
Subject
All
Credit risk
Konjunkturtheorie
Maximum likelihood estimation
Schätzung
Simulation
USA
Theorie
187
Theory
187
Time series analysis
75
Zeitreihenanalyse
75
Estimation
47
State space model
44
Zustandsraummodell
44
Volatility
37
Volatilität
37
Stochastic process
36
Stochastischer Prozess
36
Forecasting model
25
Prognoseverfahren
25
Monte Carlo simulation
23
Monte-Carlo-Simulation
23
Begrenzte Rationalität
18
Bounded rationality
18
Maximum-Likelihood-Schätzung
18
Business cycle
16
Konjunktur
16
United States
16
Welt
16
World
16
Erwartungsbildung
14
Expectation formation
14
Learning process
14
Lernprozess
14
Experiment
13
Großbritannien
13
United Kingdom
13
Börsenkurs
12
Financial market
12
Finanzmarkt
12
Share price
12
Kreditrisiko
11
more ...
less ...
Online availability
All
Free
62
Type of publication
All
Book / Working Paper
80
Type of publication (narrower categories)
All
Arbeitspapier
Collection of articles written by one author
Handbuch
Non-commercial literature
Working Paper
80
Graue Literatur
78
Language
All
English
Author
All
Basu, Susanto
Daníelsson, Jón
Dreher, Axel
Gil-Alaña, Luis A.
Hommes, Cars H.
Koopman, Siem Jan
Praag, Bernard M. S. van
Lucas, André
29
Dijk, Herman K. van
15
Lütkepohl, Helmut
14
Teulings, Coen N.
13
Groot, Henri L. F. de
12
Vries, Casper G. de
11
Bos, Charles S.
10
Caporale, Guglielmo Maria
10
Härdle, Wolfgang
10
Nijkamp, Peter
10
Blasques, Francisco
9
Lanne, Markku
8
McAleer, Michael
8
Giesecke, Kay
6
Herwartz, Helmut
6
Ommeren, Jos van
6
Pozzi, Lorenzo
6
Saikkonen, Pentti
6
Schneider, Friedrich
6
Schwaab, Bernd
6
Suárez, Javier
6
Breitung, Jörg
5
Butter, Frank A. G. den
5
Dijk, Dick van
5
Florax, Raymond J. G. M.
5
Gautier, Pieter
5
Hoogerheide, Lennart
5
Jenkins, Stephen
5
Ooms, Marius
5
Perotti, Enrico C.
5
Scharth, Marcel
5
Schiantarelli, Fabio
5
Sentana, Enrique
5
Wijnbergen, Sweder van
5
Banerjee, Anindya
4
Frijters, Paul
4
more ...
less ...
Institution
All
Centre for International Macroeconomics
1
Published in...
All
Arbeitspapier / Institut für Volkswirtschaftslehre, Sozial- und Wirtschaftswissenschaftliche Fakultät, Johannes-Kepler-Universität, Linz,
Boston College working papers in economics
CEMFI working paper
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Discussion paper / Tinbergen Institute
Discussion papers / Deutsches Institut für Wirtschaftsforschung
Discussion papers / The Centre for International Macroeconomics
EUI working paper / ECO
CESifo working papers
22
Economics and finance working paper series
12
KOF working papers
11
Working paper / National Bureau of Economic Research, Inc.
10
Discussion papers of interdisciplinary research project 373
7
Discussion paper series / IZA
6
Cege discussion paper
4
International finance discussion papers
4
Kiel working paper
4
Working papers / Federal Reserve Bank of Boston
4
Discussion papers / Courant Research Centre "Poverty, Equity and Growth in Developing and Transition Countries: Statistical Methods and Empirical Analysis"
3
Working paper series / European Central Bank
3
Department of Economics working papers
2
Discussion paper series / LSE Financial Markets Group
2
HWWA discussion paper
2
BIS papers
1
Beiträge zur angewandten Wirtschaftsforschung
1
CREATES research paper
1
Cambridge working papers in economics
1
Centre d'Etudes Prospectives d'Economie Mathématique Appliquées à la Planification : CEPREMAP
1
DNB working paper
1
Department of Economics working paper series
1
Discussion paper / Statistics Netherlands
1
Discussion paper / Tinbergen Institute / Tinbergen Institute
1
Discussion paper series / Harvard Institute of Economic Research
1
Discussion papers / CEPR
1
Diskussionsbeiträge des IAI
1
Estudos e documentos de trabalho
1
Freiburger Diskussionspapiere zur Ordnungsökonomik
1
Global COE Hi-Stat discussion paper series
1
Jena economic research papers
1
Policy research working paper : WPS
1
more ...
less ...
Source
All
ECONIS (ZBW)
80
Showing
31
-
40
of
80
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
31
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
Saved in:
32
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
Saved in:
33
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
Saved in:
34
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
Saved in:
35
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:
36
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:
37
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:
38
Unemployment and input prices : a fractional cointegration approach
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
-
2001
Persistent link: https://www.econbiz.de/10001606213
Saved in:
39
Fractional integration and business cycle features
Candelon, Bertrand
;
Gil-Alaña, Luis A.
-
2001
Persistent link: https://www.econbiz.de/10001612100
Saved in:
40
A fractionally integrated model with a mean shift for the US and the UK real oil prices
Gil-Alaña, Luis A.
-
2000
Persistent link: https://www.econbiz.de/10001509586
Saved in:
First
Prev
1
2
3
4
5
6
7
8
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->