//--> //--> //--> //-->
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:"HWWA discussion paper"
~isPartOf:"Research memorandum / METEOR"
~isPartOf:"Study paper"
~isPartOf:"Working papers / Federal Reserve Bank of Boston"
~language:"eng"
~person:"Creal, Drew"
~person:"Florax, Raymond J. G. M."
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Meta-Analyse"
~subject:"Prognoseverfahren"
~subject:"Schätzung"
~subject:"Simulation"
~subject:"USA"
~subject:"United States"
~subject:"Volatilität"
~subject:"Wirtschaftswachstum"
~type:"book"
~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
| 27 applied filters
Year of publication
From:
To:
Subject
All
Kreditrisiko
Maximum-Likelihood-Schätzung
Meta-Analyse
Prognoseverfahren
Schätzung
Simulation
USA
United States
Volatilität
Wirtschaftswachstum
Theorie
102
Theory
102
Time series analysis
53
Zeitreihenanalyse
53
State space model
43
Zustandsraummodell
43
Stochastic process
27
Stochastischer Prozess
27
Volatility
26
Estimation
24
Monte Carlo simulation
24
Monte-Carlo-Simulation
24
Forecasting model
20
Maximum likelihood estimation
18
Business cycle
12
Konjunktur
12
Credit risk
11
Factor analysis
10
Faktorenanalyse
10
Kalman filter
10
Welt
10
World
10
ARCH model
9
ARCH-Modell
9
EU countries
8
EU-Staaten
8
Economic growth
8
Meta-analysis
8
Markov chain
7
Markov-Kette
7
more ...
less ...
Online availability
All
Free
81
Type of publication
All
Book / Working Paper
Type of publication (narrower categories)
All
Collection of articles written by one author
Handbuch
Non-commercial literature
Arbeitspapier
89
Working Paper
89
Graue Literatur
85
Language
All
English
Author
All
Creal, Drew
Florax, Raymond J. G. M.
Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Lucas, André
41
Dijk, Herman K. van
32
McAleer, Michael
21
Groot, Henri L. F. de
19
Nijkamp, Peter
17
Blasques, Francisco
16
Dijk, Dick van
16
Hommes, Cars H.
16
Bos, Charles S.
14
Hoogerheide, Lennart
13
Teulings, Coen N.
13
Vries, Casper G. de
11
Diks, Cees G. H.
8
Paap, Richard
8
Ravazzolo, Francesco
8
Schwaab, Bernd
8
Poot, Jacques
7
Wijnbergen, Sweder van
7
Basturk, Nalan
6
Gooijer, Jan G. de
6
Grassi, Stefano
6
Ooms, Marius
6
Pozzi, Lorenzo
6
Scharth, Marcel
6
Allen, David E.
5
Bergh, Jeroen C. J. M. van den
5
Busse, Matthias
5
Butter, Frank A. G. den
5
Casarin, Roberto
5
Chang, Chia-Lin
5
Franses, Philip Hans
5
Gautier, Pieter
5
Jungbacker, Borus
5
Ommeren, Jos van
5
Perotti, Enrico C.
5
Pooter, Michiel de
5
Sluis, Pieter J. van der
5
more ...
less ...
Institution
All
Hamburgisches Welt-Wirtschafts-Archiv
1
Published in...
All
BIS working papers
Discussion paper / Tinbergen Institute
Discussion paper series / UCL Economics
HWWA discussion paper
Research memorandum / METEOR
Study paper
Working papers / Federal Reserve Bank of Boston
Working paper / National Bureau of Economic Research, Inc.
23
CESifo working papers
15
Discussion paper series / IZA
14
Economics and finance working paper series
13
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
9
Discussion papers of interdisciplinary research project 373
7
CEMMAP working papers / Centre for Microdata Methods and Practice
4
Discussion papers / Deutsches Institut für Wirtschaftsforschung
4
EUI working paper / ECO
3
Department of Economics working papers
2
Technical working paper / National Bureau of Economic Research
2
Working paper series / European Central Bank
2
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
1
CREATES research paper
1
Department of Economics working paper series
1
Discussion paper / Statistics Netherlands
1
Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit
1
Discussion paper series / LSE Financial Markets Group
1
Discussion papers / CEPR
1
Discussion papers / The Centre for International Macroeconomics
1
Estudos e documentos de trabalho
1
Global COE Hi-Stat discussion paper series
1
NBER working paper series
1
Sheffield economic research paper series
1
UCD Geary Institute discussion paper series
1
Working paper / Austrian Center for Labor Economics and the Analysis of the Welfare State
1
Working paper / IFAU - Institute for Labour Market Policy Evaluation
1
Working papers / Bank for International Settlements
1
ZEW discussion papers
1
more ...
less ...
Source
All
ECONIS (ZBW)
85
Showing
41
-
50
of
85
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
41
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:
42
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:
43
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:
44
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:
45
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:
46
Modeling dynamic volatilities and correlations under skewness and fat tails
Zhang, Xin
;
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
-
2011
We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...
Persistent link: https://www.econbiz.de/10011386468
Saved in:
47
Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan
;
Bos, Charles S.
-
2002
Persistent link: https://www.econbiz.de/10001718624
Saved in:
48
Fractional integration and business cycle features
Candelon, Bertrand
;
Gil-Alaña, Luis A.
-
2001
Persistent link: https://www.econbiz.de/10001590381
Saved in:
49
The stochastic volatility on mean model : empirical evidence from international stock markets
Koopman, Siem Jan
;
Uspensky, Eugenie Hol
-
2000
Persistent link: https://www.econbiz.de/10001472890
Saved in:
50
Business and default cycles for credit risk
Koopman, Siem Jan
;
Lucas, André
-
2003
Persistent link: https://www.econbiz.de/10001792714
Saved in:
First
Prev
1
2
3
4
5
6
7
8
9
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->