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~isPartOf:"CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute"
~isPartOf:"Discussion paper / Center for Economic Research, Tilburg University"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion paper series / IZA"
~isPartOf:"Discussion paper series / UCL Economics"
~isPartOf:"EUI working paper / ECO"
~isPartOf:"HWWA discussion paper"
~isPartOf:"Technical working paper / National Bureau of Economic Research"
~person:"Allen, David E."
~person:"Angrist, Joshua D."
~person:"Asai, Manabu"
~person:"Florax, Raymond J. G. M."
~person:"Gil-Alaña, Luis A."
~person:"Gooijer, Jan G. de"
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~person:"Lucas, André"
~person:"Sala, Hector"
~person:"Sluis, Pieter J. van der"
~person:"Vries, Casper G. de"
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Meta-Analyse"
~subject:"Prognoseverfahren"
~subject:"Schätzung"
~subject:"USA"
~subject:"United States"
~subject:"Volatilität"
~type:"book"
~type_genre:"Handbuch"
~type_genre:"Non-commercial literature"
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Kreditrisiko
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Allen, David E.
Angrist, Joshua D.
Asai, Manabu
Florax, Raymond J. G. M.
Gil-Alaña, Luis A.
Gooijer, Jan G. de
Heckman, James J.
Koopman, Siem Jan
Lucas, André
Sala, Hector
Sluis, Pieter J. van der
Vries, Casper G. de
Dijk, Herman K. van
27
McAleer, Michael
21
Schneider, Friedrich
16
Groot, Henri L. F. de
15
Teulings, Coen N.
15
Bos, Charles S.
14
Dijk, Dick van
14
Hommes, Cars H.
14
Nijkamp, Peter
14
Blasques, Francisco
13
Pesaran, M. Hashem
13
Woessmann, Ludger
12
Hoogerheide, Lennart
10
Marcellino, Massimiliano
9
Diks, Cees G. H.
8
Heshmati, Almas
8
Jenkins, Stephen
8
Poot, Jacques
8
Schwaab, Bernd
8
Guner, Nezih
7
Lütkepohl, Helmut
7
Polachek, Solomon W.
7
Ravazzolo, Francesco
7
Wijnbergen, Sweder van
7
Belzil, Christian
6
Berg, Gerard J. van den
6
Creal, Drew
6
Gautier, Pieter
6
Grassi, Stefano
6
Klaassen, Franc
6
Lanne, Markku
6
Ommeren, Jos van
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CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
Discussion paper / Center for Economic Research, Tilburg University
Discussion paper / Tinbergen Institute
Discussion paper series / IZA
Discussion paper series / UCL Economics
EUI working paper / ECO
HWWA discussion paper
Technical working paper / National Bureau of Economic Research
Working paper / National Bureau of Economic Research, Inc.
23
CESifo working papers
15
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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ESI working papers
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Estudos e documentos de trabalho
1
Global COE Hi-Stat discussion paper series
1
IMES discussion paper series / Englische Ausgabe
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Paper / Institute for Research in the Behavioral, Economic, and Management Sciences, Krannert Graduate School of Management, Purdue University
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ECONIS (ZBW)
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81
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:
82
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:
83
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:
84
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:
85
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:
86
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:
87
Computationally attractive stability tests for the efficient method of moments
Sluis, Pieter J. van der
-
1997
Estimation using simulation techniques may be very time consuming. Specification tests for structuralstability often require more than one of such computationally demanding estimators. Typically one for thesample, one for the post-sample and one for the combination of sample and post-sample is...
Persistent link: https://www.econbiz.de/10010339446
Saved in:
88
Fifty years of mincer earnings regressions
Heckman, James J.
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001760429
Saved in:
89
Unemployment, growth and fiscal policy : new insights on the hysteresis hypothesis
Raurich-Puigdevall, Xavier
(
contributor
); …
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002035720
Saved in:
90
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
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