//--> //--> //--> //-->
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:"BIS working papers"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion paper series / Tasmanian School of Business and Economics, University of Tasmania"
~isPartOf:"Discussion paper series / UCL Economics"
~isPartOf:"Economics and finance working paper series"
~isPartOf:"HWWA discussion paper"
~isPartOf:"Research memorandum / METEOR"
~isPartOf:"Study paper"
~isPartOf:"Working papers / Federal Reserve Bank of Boston"
~language:"eng"
~person:"Florax, Raymond J. G. M."
~person:"Francois, Joseph F."
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Herings, Peter Jean-Jacques"
~person:"Koopman, Siem Jan"
~person:"Pozzi, Lorenzo"
~person:"Ravazzolo, Francesco"
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Meta-Analyse"
~subject:"Prognoseverfahren"
~subject:"Simulation"
~subject:"Theorie"
~subject:"USA"
~subject:"United States"
~subject:"Volatilität"
~subject:"Wirtschaftswachstum"
~subject:"World"
~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
| 32 applied filters
Year of publication
From:
To:
Subject
All
Kreditrisiko
Maximum-Likelihood-Schätzung
Meta-Analyse
Prognoseverfahren
Simulation
Theorie
USA
United States
Volatilität
Wirtschaftswachstum
World
Theory
194
Time series analysis
77
Zeitreihenanalyse
77
State space model
45
Zustandsraummodell
45
Estimation
41
Schätzung
41
Volatility
31
Welt
31
Forecasting model
29
Stochastic process
28
Stochastischer Prozess
28
Monte Carlo simulation
27
Monte-Carlo-Simulation
27
Maximum likelihood estimation
18
Business cycle
16
Konjunktur
16
Bayes-Statistik
13
Bayesian inference
13
Handelsliberalisierung
12
Statistical distribution
12
Statistische Verteilung
12
Trade liberalization
12
ARCH model
11
ARCH-Modell
11
Börsenkurs
11
Capital income
11
Credit risk
11
Economic growth
11
Kapitaleinkommen
11
Share price
11
more ...
less ...
Online availability
All
Free
167
Type of publication
All
Book / Working Paper
215
Type of publication (narrower categories)
All
Collection of articles written by one author
Handbuch
Non-commercial literature
Arbeitspapier
229
Working Paper
229
Graue Literatur
215
Language
All
English
Author
All
Florax, Raymond J. G. M.
Francois, Joseph F.
Gil-Alaña, Luis A.
Heckman, James J.
Herings, Peter Jean-Jacques
Koopman, Siem Jan
Pozzi, Lorenzo
Ravazzolo, Francesco
Nijkamp, Peter
123
Verhoef, Erik T.
117
Brink, René van den
70
Lucas, André
69
Bergh, Jeroen C. J. M. van den
64
Dijk, Herman K. van
63
Rietveld, Piet
59
Laan, Gerard van der
55
Dur, Robert A. J.
49
Janssen, Maarten C. W.
39
McAleer, Michael
39
Vries, Casper G. de
39
Caporale, Guglielmo Maria
38
Hommes, Cars H.
35
Teulings, Coen N.
34
Groot, Henri L. F. de
33
Swank, Otto H.
31
Winden, Frans A. A. M. van
31
Hinloopen, Jeroen
28
Houba, Harold
26
Perotti, Enrico C.
26
Praag, Bernard M. S. van
26
Schabert, Andreas
26
Bos, Charles S.
25
Rouwendal, Jan
25
Borio, Claudio E. V.
24
Hoogerheide, Lennart
24
Berg, Vincent A. C. van den
23
Blasques, Francisco
23
Franses, Philip Hans
23
Ommeren, Jos van
23
Talman, Dolf
23
Dijk, Dick van
22
Haan, Laurens de
22
Moraga-González, José Luis
22
Sonnemans, Joep
22
more ...
less ...
Institution
All
Hamburgisches Welt-Wirtschafts-Archiv
1
Published in...
All
BIS working papers
Discussion paper / Tinbergen Institute
Discussion paper series / Tasmanian School of Business and Economics, University of Tasmania
Discussion paper series / UCL Economics
Economics and finance working paper series
HWWA discussion paper
Research memorandum / METEOR
Study paper
Working papers / Federal Reserve Bank of Boston
Working paper / National Bureau of Economic Research, Inc.
40
Discussion paper series / IZA
39
Discussion paper / Center for Economic Research, Tilburg University
31
CESifo working papers
27
Discussion paper / Centre for Economic Policy Research
27
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
15
Research memorandum / METEOR, Universiteit Maastricht, Faculty of Economics and Business Administration
15
Discussion papers of interdisciplinary research project 373
13
GSBE research memoranda
11
Discussion papers / Deutsches Institut für Wirtschaftsforschung
9
UCD Geary Institute discussion paper series
9
CEMMAP working papers / Centre for Microdata Methods and Practice
8
Technical working paper / National Bureau of Economic Research
7
Working paper / Norges Bank
7
Discussion paper / Centre for International Economic Studies, University of Adelaide
6
Working paper / Department of Economics, Johannes-Kepler-Universität of Linz
6
Bozen economics & management paper series : BEMPS
5
CAMP working paper series
5
CORE discussion paper : DP
5
Handbooks in economics
5
Discussion paper / Tinbergen Institute / Tinbergen Institute
4
Discussion papers / CEPR
4
Policy research working paper : WPS
4
WTI working paper
4
Working paper series / European Central Bank
4
Working paper series / Universiteit Gent, Faculteit Economie en Bedrijfskunde
4
Working papers
4
CAMA working paper series
3
CREATES research paper
3
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
3
EUI working paper / ECO
3
Mu̐helytanulmányok / Magyar Tudományos Akadémia, Közgazdaságtudományi Intézet
3
Seminar paper
3
Suntory and Toyota International Centres for Economics and Related Disciplines
3
Arbeitspapier / Institut für Volkswirtschaftslehre, Sozial- und Wirtschaftswissenschaftliche Fakultät, Johannes-Kepler-Universität, Linz,
2
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
2
more ...
less ...
Source
All
ECONIS (ZBW)
215
Showing
91
-
100
of
215
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
91
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:
92
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:
93
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
Saved in:
94
Short-term price overreactions : identification, testing, exploitation
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2014
Persistent link: https://www.econbiz.de/10010431600
Saved in:
95
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:
96
World
equity premium based risk aversion estimates
Pozzi, Lorenzo
;
Vries, Casper G. de
;
Zenhorst, J.
-
2010
confidence band for the
world
risk aversion estimate from the pooled country data is much tighter and the pooled point estimate …
Persistent link: https://www.econbiz.de/10011379612
Saved in:
97
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
Saved in:
98
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:
99
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:
100
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:
First
Prev
6
7
8
9
10
11
12
13
14
15
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->