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Klaassen, Franc; Teulings, Rutger - 2017

all variables proposed by theory, despite a broad set of fixed effects (FE). We find that both REERs are important and … multilateral resistances. Untangling normalization helps to get a better view of what is still unexplained by theory. …

Persistent link: https://www.econbiz.de/10011791519

Global credit risk : world, country and industry factors

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2015

area sovereign debt crises. We find that macro and default-specific world factors are a primary source of default …

Persistent link: https://www.econbiz.de/10010484886

Space and growth

Abreu, Maria; Groot, Henri L. F. de; Florax, Raymond J. … - 2004

literature. In contrast, studies on relative location tend to be weakly linked to theory, but apply relatively sophisticated … appropriateness of such models, and identify areas of potential concern. The rather weak linkage between theory and operational models …

Persistent link: https://www.econbiz.de/10011342567

A neural network approach to the environmental Kuznets curve

Bennedsen, Mikkel; Hillebrand, Eric; Jensen, Sebastian - 2022

Persistent link: https://www.econbiz.de/10013367388

Skill policies for Scotland

Heckman, James J. (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002520119

Systemic risk diagnostics : coincident indicators and early warning signals

Schwaab, Bernd; Lucas, André; Koopman, Siem Jan - 2010

Persistent link: https://www.econbiz.de/10008771823

Generalized dynamic panel data models with random effects for cross-section and time

Mesters, Geert; Koopman, Siem Jan - 2012

Persistent link: https://www.econbiz.de/10009722706

Exchange rates and macroeconomic fundamentals : evidence of instabilities from time-varying factor loadings

Hillebrand, Eric; Mikkelsen, Jakob Guldbæk; Spreng, Lars; … - 2020

Persistent link: https://www.econbiz.de/10012433967

Model-based business cycle and financial cycle decomposition for Europe and the U.S.

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2016

We develop a multivariate unobserved components model to extract business cycle and financial cycle indicators from a panel of economic and financial time series of four large developed economies. Our model is flexible and allows for the inclusion of cycle components in different selections of...

Persistent link: https://www.econbiz.de/10011520505

Realized Wishart-GARCH : a score-driven multi-Asset volatility model

Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016

We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...

Persistent link: https://www.econbiz.de/10011520881