//--> //--> //--> //-->
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:"CEMMAP working papers / Centre for Microdata Methods and Practice"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion paper series / UCL Economics"
~isPartOf:"HWWA discussion paper"
~isPartOf:"Working paper / IFAU - Institute for Labour Market Policy Evaluation"
~language:"eng"
~person:"Florax, Raymond J. G. M."
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~person:"Ravazzolo, Francesco"
~person:"Verhoef, Erik T."
~subject:"Factor analysis"
~subject:"Konjunktur"
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Monte-Carlo-Simulation"
~subject:"Prognoseverfahren"
~subject:"Stochastic process"
~subject:"USA"
~subject:"United States"
~subject:"Volatilität"
~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
| 26 applied filters
Year of publication
From:
To:
Subject
All
Factor analysis
Konjunktur
Kreditrisiko
Maximum-Likelihood-Schätzung
Monte-Carlo-Simulation
Prognoseverfahren
Stochastic process
USA
United States
Volatilität
Theorie
228
Theory
228
Maut
56
Road pricing
56
Time series analysis
55
Zeitreihenanalyse
55
Bottleneck
44
Engpass
44
State space model
44
Zustandsraummodell
44
Traffic congestion
43
Verkehrsstau
43
Stochastischer Prozess
29
Estimation
27
Forecasting model
27
Schätzung
27
Volatility
26
Monte Carlo simulation
25
Road transport
22
Straßenverkehr
22
Maximum likelihood estimation
18
Externalities
16
Externer Effekt
16
Demand-side management
14
Lastmanagement
14
Second Best
14
Second best
14
Welt
13
World
13
Simulation
12
Bayes-Statistik
11
Bayesian inference
11
Business cycle
11
more ...
less ...
Online availability
All
Free
90
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
96
Working Paper
96
Graue Literatur
93
Language
All
English
Author
All
Florax, Raymond J. G. M.
Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Ravazzolo, Francesco
Verhoef, Erik T.
Lucas, André
45
Dijk, Herman K. van
36
McAleer, Michael
21
Bos, Charles S.
17
Hoogerheide, Lennart
16
Blasques, Francisco
14
Diks, Cees G. H.
14
Dijk, Dick van
13
Hommes, Cars H.
13
Linton, Oliver
9
Gooijer, Jan G. de
8
Schwaab, Bernd
8
Vries, Casper G. de
8
Ooms, Marius
7
Paap, Richard
7
Teulings, Coen N.
7
Creal, Drew
6
Grassi, Stefano
6
Monteiro, André Antonio
6
Nijkamp, Peter
6
Scharth, Marcel
6
Allen, David E.
5
Basturk, Nalan
5
Casarin, Roberto
5
Jungbacker, Borus
5
Panchenko, Valentyn
5
Pooter, Michiel de
5
Sluis, Pieter J. van der
5
Wagener, Florian Oskar Ottokar
5
Wel, Michel van der
5
Aastveit, Knut Are
4
Asai, Manabu
4
Chang, Chia-Lin
4
Chernozhukov, Victor
4
Daníelsson, Jón
4
Franses, Philip Hans
4
Gautier, Pieter
4
more ...
less ...
Institution
All
Hamburgisches Welt-Wirtschafts-Archiv
1
Published in...
All
CEMMAP working papers / Centre for Microdata Methods and Practice
Discussion paper / Tinbergen Institute
Discussion paper series / UCL Economics
HWWA discussion paper
Working paper / IFAU - Institute for Labour Market Policy Evaluation
Working paper / National Bureau of Economic Research, Inc.
19
Discussion paper series / IZA
13
CESifo working papers
12
Economics and finance working paper series
10
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
9
Discussion papers of interdisciplinary research project 373
6
Working paper / Norges Bank
6
Discussion papers / Deutsches Institut für Wirtschaftsforschung
4
Working paper series / European Central Bank
4
Bozen economics & management paper series : BEMPS
3
Working papers
3
CAMP working paper series
2
CREATES research paper
2
Department of Economics working papers
2
Research memorandum / METEOR
2
Technical working paper / National Bureau of Economic Research
2
UCD Geary Institute discussion paper series
2
Working papers / Innocenzo Gasparini Institute for Economic Research
2
BIS working papers
1
CAMA working paper series
1
DNB working paper
1
Discussion paper / Centre for Economic Forecasting
1
Discussion paper / Centre for Economic Policy Research
1
Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit
1
EUI working paper / ECO
1
Econometric Institute research papers
1
Estudos e documentos de trabalho
1
Federal Reserve Bank of Cleveland working paper series
1
Global COE Hi-Stat discussion paper series
1
NBER working paper series
1
Sheffield economic research paper series
1
Working paper / Austrian Center for Labor Economics and the Analysis of the Welfare State
1
Working papers / Federal Reserve Bank of Boston
1
ZEW discussion papers
1
more ...
less ...
Source
All
ECONIS (ZBW)
93
Showing
41
-
50
of
93
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
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:
43
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:
44
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:
45
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:
46
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:
47
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:
48
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:
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
10
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->