//--> //--> //--> //-->
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 / 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:"Butter, Frank A. G. den"
~person:"Florax, Raymond J. G. M."
~person:"Francois, Joseph F."
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~person:"Pozzi, Lorenzo"
~person:"Ravazzolo, Francesco"
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Meta-Analyse"
~subject:"Prognoseverfahren"
~subject:"Schätzung"
~subject:"Simulation"
~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
| 31 applied filters
Year of publication
From:
To:
Subject
All
Kreditrisiko
Maximum-Likelihood-Schätzung
Meta-Analyse
Prognoseverfahren
Schätzung
Simulation
USA
United States
Volatilität
Wirtschaftswachstum
World
Theorie
165
Theory
165
Time series analysis
77
Zeitreihenanalyse
77
Estimation
45
State space model
45
Zustandsraummodell
45
Welt
33
Forecasting model
31
Volatility
31
Stochastic process
28
Stochastischer Prozess
28
Monte Carlo simulation
27
Monte-Carlo-Simulation
27
Maximum likelihood estimation
18
Business cycle
17
Konjunktur
17
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
130
Type of publication
All
Book / Working Paper
138
Type of publication (narrower categories)
All
Collection of articles written by one author
Handbuch
Non-commercial literature
Arbeitspapier
145
Working Paper
145
Graue Literatur
138
Language
All
English
Author
All
Butter, Frank A. G. den
Florax, Raymond J. G. M.
Francois, Joseph F.
Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Pozzi, Lorenzo
Ravazzolo, Francesco
Lucas, André
44
Dijk, Herman K. van
32
McAleer, Michael
32
Nijkamp, Peter
28
Caporale, Guglielmo Maria
26
Groot, Henri L. F. de
25
Borio, Claudio E. V.
21
Hommes, Cars H.
18
Dijk, Dick van
17
Blasques, Francisco
16
Bos, Charles S.
14
Hoogerheide, Lennart
13
Perotti, Enrico C.
13
Teulings, Coen N.
13
Wijnbergen, Sweder van
13
Bergh, Jeroen C. J. M. van den
12
Michaelowa, Axel
12
Vries, Casper G. de
12
Chang, Chia-Lin
10
Davis, E. Philip
9
Marrewijk, Charles van
9
Barrell, Ray
8
Diks, Cees G. H.
8
Dutschke, Michael
8
Franses, Philip Hans
8
Paap, Richard
8
Schwaab, Bernd
8
Bräuning, Falk
7
Karim, Dilruba
7
Poot, Jacques
7
Allen, David E.
6
Basturk, Nalan
6
Busse, Matthias
6
more ...
less ...
Institution
All
Hamburgisches Welt-Wirtschafts-Archiv
1
Published in...
All
BIS working papers
Discussion paper / Tinbergen Institute
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.
22
CESifo working papers
18
Discussion paper / Centre for Economic Policy Research
16
Discussion paper series / IZA
15
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
9
Discussion papers of interdisciplinary research project 373
7
Working paper / Norges Bank
7
Discussion paper / Centre for International Economic Studies, University of Adelaide
5
Discussion papers / Deutsches Institut für Wirtschaftsforschung
5
Bozen economics & management paper series : BEMPS
4
CAMP working paper series
4
CEMMAP working papers / Centre for Microdata Methods and Practice
4
Discussion papers / CEPR
4
WTI working paper
4
Working paper series / European Central Bank
4
CAMA working paper series
3
CREATES research paper
3
Discussion paper series / Tasmanian School of Business and Economics, University of Tasmania
3
EUI working paper / ECO
3
Working paper / Department of Economics, Johannes-Kepler-Universität of Linz
3
Working paper series / Universiteit Gent, Faculteit Economie en Bedrijfskunde
3
Working papers
3
Department of Economics working papers
2
IFN working paper
2
Institute for Prospective Technological Studies digital economy working paper
2
Staff working paper / Bank of Canada
2
Technical working paper / National Bureau of Economic Research
2
Working paper / The Vienna Institute for International Economic Studies (WIIW)
2
Working papers / Innocenzo Gasparini Institute for Economic Research
2
Arbeitspapier / Institut für Volkswirtschaftslehre, Sozial- und Wirtschaftswissenschaftliche Fakultät, Johannes-Kepler-Universität, Linz,
1
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
1
Department of Economics working paper series
1
Development studies working papers / Centro Studi Luca d'Agliano
1
Discussion paper / Statistics Netherlands
1
Discussion paper / Tinbergen Institute / Tinbergen Institute
1
Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit
1
Discussion paper series / LSE Financial Markets Group
1
more ...
less ...
Source
All
ECONIS (ZBW)
138
Showing
51
-
60
of
138
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
51
Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.
;
Koopman, Siem Jan
;
Ooms, Marius
-
2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...
Persistent link: https://www.econbiz.de/10011373822
Saved in:
52
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
Saved in:
53
Beating the random walk : a performance assessment of long-term interest rate forecasts
Butter, Frank A. G. den
;
Jansen, Pieter W.
-
2008
-
This version 27 October 2008
This paper assesses the performance of a number of long-term interest rate forecast approaches, namely time series models, structural economic models, expert forecasts and combinations thereof. The predictive performance of these approaches is compared using out of sample forecast errors, where...
Persistent link: https://www.econbiz.de/10011377250
Saved in:
54
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
Saved in:
55
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:
56
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:
57
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:
58
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:
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
Saved in:
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
Saved in:
First
Prev
2
3
4
5
6
7
8
9
10
11
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->