//--> //--> //--> //-->
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:"CREATES research paper"
~isPartOf:"Department of Economics working papers"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion paper series / UCL Economics"
~isPartOf:"Discussion papers / CEPR"
~isPartOf:"Discussion papers of interdisciplinary research project 373"
~isPartOf:"Economics and finance working paper series"
~isPartOf:"HWWA discussion paper"
~isPartOf:"School of Economics and Finance working paper series"
~isPartOf:"Working paper series / European Central Bank"
~language:"eng"
~person:"Allen, David E."
~person:"Florax, Raymond J. G. M."
~person:"Gautier, Pieter"
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~person:"Poot, Jacques"
~person:"Scharth, Marcel"
~source:"econis"
~subject:"Credit risk"
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Meta-Analyse"
~subject:"Schätzung"
~subject:"Stochastischer Prozess"
~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
| 33 applied filters
Year of publication
From:
To:
Subject
All
Credit risk
Kreditrisiko
Maximum-Likelihood-Schätzung
Meta-Analyse
Schätzung
Stochastischer Prozess
USA
United States
Volatilität
Theorie
163
Theory
163
Time series analysis
76
Zeitreihenanalyse
76
Estimation
46
State space model
44
Zustandsraummodell
44
Volatility
32
Stochastic process
31
Forecasting model
26
Monte Carlo simulation
26
Monte-Carlo-Simulation
26
Prognoseverfahren
26
Welt
23
World
23
Maximum likelihood estimation
18
Business cycle
16
Börsenkurs
16
Konjunktur
16
Share price
16
Cointegration
13
Kointegration
13
Meta-analysis
13
Arbeitslosigkeit
12
Simulation
12
Unemployment
12
Capital income
11
Einheitswurzeltest
11
Kapitaleinkommen
11
Unit root test
11
ARCH model
10
more ...
less ...
Online availability
All
Free
113
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
123
Working Paper
123
Graue Literatur
118
Language
All
English
Author
All
Allen, David E.
Florax, Raymond J. G. M.
Gautier, Pieter
Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Poot, Jacques
Scharth, Marcel
Lucas, André
48
Caporale, Guglielmo Maria
26
McAleer, Michael
18
Bos, Charles S.
16
Groot, Henri L. F. de
15
Blasques, Francisco
14
Schwaab, Bernd
13
Teulings, Coen N.
13
Nijkamp, Peter
12
Hommes, Cars H.
11
Podolskij, Mark
11
Vries, Casper G. de
11
Dijk, Herman K. van
10
Wijnbergen, Sweder van
10
Diks, Cees G. H.
8
Santucci de Magistris, Paolo
8
Creal, Drew
7
Dijk, Dick van
7
Küchler, Uwe
7
Müller, Gernot J.
7
Petrella, Ivan
7
Zhang, Xin
7
Andreasen, Martin Møller
6
Bekaert, Geert
6
Föllmer, Hans
6
Giesecke, Kay
6
Grassi, Stefano
6
Ooms, Marius
6
Pozzi, Lorenzo
6
Verhoef, Erik T.
6
Amisano, Gianni
5
Barndorff-Nielsen, Ole E.
5
Bennedsen, Mikkel
5
Busse, Matthias
5
Delle Monache, Davide
5
more ...
less ...
Institution
All
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
9
Hamburgisches Welt-Wirtschafts-Archiv
1
Published in...
All
CREATES research paper
Department of Economics working papers
Discussion paper / Tinbergen Institute
Discussion paper series / UCL Economics
Discussion papers / CEPR
Discussion papers of interdisciplinary research project 373
Economics and finance working paper series
HWWA discussion paper
School of Economics and Finance working paper series
Working paper series / European Central Bank
Working paper / National Bureau of Economic Research, Inc.
20
Discussion paper series / IZA
17
CESifo working papers
15
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
11
Discussion papers / Deutsches Institut für Wirtschaftsforschung
5
School of Accounting, Finance and Economics & FEMARC working paper series
4
CEMMAP working papers / Centre for Microdata Methods and Practice
3
EUI working paper / ECO
3
Technical working paper / National Bureau of Economic Research
3
UCD Geary Institute discussion paper series
2
Working paper
2
Department of Economics working paper series
1
Discussion paper / Centre for Economic Policy Research
1
Discussion paper / Statistics Netherlands
1
Discussion paper / Tinbergen Institute / Tinbergen Institute
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
Econometric Institute research papers
1
Estudos e documentos de trabalho
1
Global COE Hi-Stat discussion paper series
1
NBER working paper series
1
Research memoranda / Vrije Universiteit, Faculteit der Economische Wetenschappen en Bedrijfskunde
1
Research memorandum / METEOR
1
Research series / Universiteit van Amsterdam
1
Sheffield economic research paper series
1
Study paper
1
Tinbergen Institute research 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 / Federal Reserve Bank of Boston
1
more ...
less ...
Source
All
ECONIS (ZBW)
Showing
51
-
60
of
118
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
51
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:
52
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:
53
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:
54
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:
55
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:
56
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:
57
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:
58
Meta-analysis of the impact of fiscal policies on long-run growth
Nijkamp, Peter
;
Poot, Jacques
-
2002
Persistent link: https://www.econbiz.de/10001659005
Saved in:
59
An empirical measure for labor market density
Gautier, Pieter
;
Teulings, Coen N.
-
2000
Persistent link: https://www.econbiz.de/10001471440
Saved in:
60
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:
First
Prev
2
3
4
5
6
7
8
9
10
11
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->