//--> //--> //--> //-->
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:"Florax, Raymond J. G. M."
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~subject:"EU-Staaten"
~subject:"Kreditrisiko"
~subject:"Markov chain"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Meta-Analyse"
~subject:"Prognoseverfahren"
~subject:"Schätzung"
~subject:"Simulation"
~subject:"USA"
~subject:"United States"
~subject:"Volatilität"
~subject:"Wirtschaftswachstum"
~subject:"World"
~subject:"Zeitreihenanalyse"
~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
| 30 applied filters
Year of publication
From:
To:
Subject
All
EU-Staaten
Kreditrisiko
Markov chain
Maximum-Likelihood-Schätzung
Meta-Analyse
Prognoseverfahren
Schätzung
Simulation
USA
United States
Volatilität
Wirtschaftswachstum
World
Zeitreihenanalyse
Theorie
102
Theory
102
Time series analysis
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
ARCH model
9
ARCH-Modell
9
EU countries
8
Economic growth
8
Meta-analysis
8
Markov-Kette
7
more ...
less ...
Online availability
All
Free
96
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
109
Working Paper
109
Graue Literatur
102
Language
All
English
Author
All
Florax, Raymond J. G. M.
Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Lucas, André
54
Dijk, Herman K. van
47
McAleer, Michael
32
Nijkamp, Peter
31
Groot, Henri L. F. de
25
Borio, Claudio E. V.
21
Blasques, Francisco
19
Bos, Charles S.
19
Dijk, Dick van
18
Hommes, Cars H.
18
Francois, Joseph F.
16
Hoogerheide, Lennart
16
Franses, Philip Hans
15
Perotti, Enrico C.
14
Vries, Casper G. de
14
Wijnbergen, Sweder van
14
Teulings, Coen N.
13
Bergh, Jeroen C. J. M. van den
12
Michaelowa, Axel
12
Chang, Chia-Lin
10
Diks, Cees G. H.
10
Gooijer, Jan G. de
10
Marrewijk, Charles van
10
Ooms, Marius
10
Paap, Richard
10
Butter, Frank A. G. den
8
Dutschke, Michael
8
Ravazzolo, Francesco
8
Schwaab, Bernd
8
Basturk, Nalan
7
Boswijk, Herman Peter
7
Bräuning, Falk
7
Creal, Drew
7
Mooij, Ruud A. de
7
Palm, Franz C.
7
Poot, Jacques
7
Pozzi, Lorenzo
7
Rietveld, Piet
7
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
CESifo working papers
24
Working paper / National Bureau of Economic Research, Inc.
22
Economics and finance working paper series
17
Discussion paper series / IZA
15
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
12
Discussion papers of interdisciplinary research project 373
11
Discussion papers / Deutsches Institut für Wirtschaftsforschung
7
CEMMAP working papers / Centre for Microdata Methods and Practice
4
Discussion paper / Center for Economic Research, Tilburg University
3
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
3
EUI working paper / ECO
3
Suntory and Toyota International Centres for Economics and Related Disciplines
3
CREATES research paper
2
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
DNB working paper
1
Department of Economics working paper series
1
Discussion paper / Centre for Economic Forecasting
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 / 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
ZEW discussion papers
1
more ...
less ...
Source
All
ECONIS (ZBW)
102
Showing
21
-
30
of
102
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
21
Likelihood-based analysis for dynamic factor models
Jungbacker, Borus
;
Koopman, Siem Jan
-
2008
We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...
Persistent link: https://www.econbiz.de/10011373811
Saved in:
22
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:
23
Seasonality with trend and cycle interactions in unobserved components models
Koopman, Siem Jan
;
Lee, Kai Ming
-
2008
Unobserved components time series models decompose a time series into a trend, a season, a cycle, an irregular disturbance, and possibly other components. These models have been successfully applied to many economic time series. The standard assumption of a linear model, often appropriate after...
Persistent link: https://www.econbiz.de/10011374413
Saved in:
24
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:
25
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:
26
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:
27
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:
28
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:
29
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:
30
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
1
2
3
4
5
6
7
8
9
10
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->