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~isPartOf:"BIS working papers"
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~isPartOf:"Working paper series / European Central Bank"
~isPartOf:"Working papers / Federal Reserve Bank of Boston"
~language:"eng"
~person:"Florax, Raymond J. G. M."
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~person:"Ravazzolo, Francesco"
~person:"Schmitz, Martin"
~subject:"Factor analysis"
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Meta-Analyse"
~subject:"Prognoseverfahren"
~subject:"Schätzung"
~subject:"Simulation"
~subject:"Stochastischer Prozess"
~subject:"Time series analysis"
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~subject:"Volatility"
~subject:"Volatilität"
~subject:"Wirtschaftswachstum"
~subject:"World"
~subject:"Zustandsraummodell"
~type:"book"
~type_genre:"Collection of articles written by one author"
~type_genre:"Handbuch"
~type_genre:"Non-commercial literature"
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Florax, Raymond J. G. M.
Gil-Alaña, Luis A.
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59
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61
The empirical economic growth literature
Florax, Raymond J. G. M.
;
Groot, Henri L. F. de
; …
-
2002
The empirical economic growth literature is criticized for its lack ofrobustness. For different definitions of robustness, conclusions vary from 'almost everycorrelation is fragile' to 'a substantial number of explanatory variables are robust.' Were-analyze the empirical results of the economic...
Persistent link: https://www.econbiz.de/10011326970
Saved in:
62
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:
63
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
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64
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
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65
Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models
Blasques, Francisco
;
Koopman, Siem Jan
;
Mallee, Max I. P.
-
2014
The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...
Persistent link: https://www.econbiz.de/10010391543
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66
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
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67
Models with time-varying mean and variance : a robust analysis of US industrial production
Bos, Charles S.
;
Koopman, Siem Jan
-
2010
Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions...
Persistent link: https://www.econbiz.de/10011379641
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68
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
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69
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
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70
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
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