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~isPartOf:"BIS working papers"
~isPartOf:"Discussion paper / Tinbergen Institute"
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~isPartOf:"Working paper / The Vienna Institute for International Economic Studies (WIIW)"
~isPartOf:"Working papers / Federal Reserve Bank of Boston"
~language:"eng"
~person:"Dijk, Herman K. van"
~person:"Florax, Raymond J. G. M."
~person:"Francois, Joseph F."
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~person:"Ravazzolo, Francesco"
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Meta-Analyse"
~subject:"Prognoseverfahren"
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~type_genre:"Collection of articles written by one author"
~type_genre:"Graue Literatur"
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~type_genre:"Non-commercial literature"
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Dijk, Herman K. van
Florax, Raymond J. G. M.
Francois, Joseph F.
Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Ravazzolo, Francesco
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44
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14
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13
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13
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13
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13
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12
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51
The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew
;
Koopman, Siem Jan
;
Zivot, Eric
-
2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10011376640
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52
Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling
Hoogerheide, Lennart
;
Dijk, Herman K. van
-
2008
An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures in a Bayesian framework. This consists of a new adaptive importance sampling method for Quantile Estimation via Rapid Mixture of t approximations [QERMit]. As a first step the...
Persistent link: https://www.econbiz.de/10011377096
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53
Dynamic factor analysis in the presence of missing data
Jungbacker, Borus
;
Koopman, Siem Jan
;
Wel, Michel van der
-
2011
This paper concerns estimating parameters in a high-dimensional dynamic factormodel by the method of maximum likelihood. To accommodate missing data in theanalysis, we propose a new model representation for the dynamic factor model. Itallows the Kalman filter and related smoothing methods to...
Persistent link: https://www.econbiz.de/10011377572
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54
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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55
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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56
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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57
Bayes estimates of Markov trends in possibly cointegrated series : an application to US consumption and income
Paap, Richard
;
Dijk, Herman K. van
-
1999
Stylized facts show that the average growth rates of US per capitaconsumption and income differ in recession and expansion periods.Since a linear combination of such series does not have to be a constant meanprocess, standard cointegration analysis between the variables, toexamine the permanent...
Persistent link: https://www.econbiz.de/10011301165
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58
Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
1999
Exchange rates typically exhibit time-varying patterns in both means andvariances. The histograms of such series indicate heavy tails. In thispaper we construct models which enable a decision-maker to analyze theimplications of such time series patterns for currency risk management.Our approach...
Persistent link: https://www.econbiz.de/10011302131
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59
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
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60
Forecasting the variability of stock index returns with stochastic volatility models and implied volatility
Hol Uspensky, Eugenie
;
Koopman, Siem Jan
-
2000
In this paper we compare the predictive abilility of Stochastic Volatility (SV)models to that of volatility forecasts implied by option prices. We develop anSV model with implied volatility as an exogeneous var able in the varianceequation which facilitates the use of statistical tests for...
Persistent link: https://www.econbiz.de/10011304384
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