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~isPartOf:"Boston College working papers in economics"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Economics and finance working paper series"
~isPartOf:"Kiel working paper"
~isPartOf:"Technical working paper / National Bureau of Economic Research"
~language:"eng"
~person:"Basu, Susanto"
~person:"Daníelsson, Jón"
~person:"Dreher, Axel"
~person:"Frijters, Paul"
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~person:"Lucas, André"
~person:"Schwaab, Bernd"
~person:"Weder, Mark"
~subject:"Börsenkurs"
~subject:"Cointegration"
~subject:"Portfolio selection"
~subject:"Prognoseverfahren"
~subject:"Schätzung"
~subject:"USA"
~type_genre:"Collection of articles written by one author"
~type_genre:"Handbuch"
~type_genre:"Non-commercial literature"
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Basu, Susanto
Daníelsson, Jón
Dreher, Axel
Frijters, Paul
Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Lucas, André
Schwaab, Bernd
Weder, Mark
Dijk, Herman K. van
31
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24
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9
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9
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Hommes, Cars H.
8
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8
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7
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Boston College working papers in economics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Discussion paper / Tinbergen Institute
Economics and finance working paper series
Kiel working paper
Technical working paper / National Bureau of Economic Research
Working paper / National Bureau of Economic Research, Inc.
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13
Discussion papers of interdisciplinary research project 373
8
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5
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5
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4
International finance discussion papers
4
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3
Discussion paper / Tinbergen Institute / Tinbergen Institute
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Discussion papers / Courant Research Centre "Poverty, Equity and Growth in Developing and Transition Countries: Statistical Methods and Empirical Analysis"
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CREATES research paper
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Cambridge working papers in economics
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ECONIS (ZBW)
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21
Long memory in Angolan macroeconomic series : mean reversion versus explosive behaviour
Barros, Carlos Pestana
;
Caporale, Guglielmo Maria
; …
-
2012
Persistent link: https://www.econbiz.de/10009573955
Saved in:
22
Uncertainty shocks in a model of effective demand
Basu, Susanto
;
Bundick, Brent
-
2011
This paper examines the role of uncertainty shocks in a one-sector, representative-agent dynamic stochastic general-equilibrium model. When prices are flexible, uncertainty shocks are not capable of producing business-cycle comovements among key macro variables. With countercyclical markups...
Persistent link: https://www.econbiz.de/10009312762
Saved in:
23
Long-term price overreactions : are markets inefficient?
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2015
Persistent link: https://www.econbiz.de/10010520828
Saved in:
24
Quantile forecasting for credit risk management using possibly mis-specified hidden Markov models
Banachewicz, Konrad
;
Lucas, André
-
2007
Recent models for credit risk management make use of Hidden Markov Models (HMMs). The HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially mis-specified. In this paper, we focus on...
Persistent link: https://www.econbiz.de/10011372502
Saved in:
25
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:
26
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:
27
A dynamic model of investor decision-making : how adaptation to losses affects future selling decisions
Lee, Carmen
;
Kräussl, Roman
;
Lucas, André
;
Paas, …
-
2008
We conduct an experiment to test whether the size of a loss and the time in a losing position affect investors’ adaptation to the loss situation and, subsequently, whether this adaptation affects future investment decisions. As investors adapt to losses, their neutral reference point shifts...
Persistent link: https://www.econbiz.de/10011377365
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28
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:
29
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:
30
SETS, arbitrage activity, and stock price dynamics
Taylor, Nicholas
;
Dijk, Dick van
;
Franses, Philip Hans
; …
-
1999
This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. Therecent introduction ofSETS in the London Stock Exchange provides an excellent opportunity...
Persistent link: https://www.econbiz.de/10011300557
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