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~isPartOf:"CREATES research paper"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion paper series / UCL Economics"
~isPartOf:"Working paper / IFAU - Institute for Labour Market Policy Evaluation"
~language:"eng"
~person:"Bos, Charles S."
~person:"Dijk, Dick van"
~person:"Florax, Raymond J. G. M."
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Klaassen, Franc"
~person:"Koopman, Siem Jan"
~subject:"Konjunktur"
~subject:"Kreditrisiko"
~subject:"Markov chain"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Schätzung"
~subject:"USA"
~subject:"United States"
~type:"book"
~type_genre:"Collection of articles written by one author"
~type_genre:"Handbuch"
~type_genre:"Non-commercial literature"
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Bos, Charles S.
Dijk, Dick van
Florax, Raymond J. G. M.
Gil-Alaña, Luis A.
Heckman, James J.
Klaassen, Franc
Koopman, Siem Jan
Lucas, André
32
Dijk, Herman K. van
17
Teulings, Coen N.
14
Nijkamp, Peter
10
Groot, Henri L. F. de
9
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9
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8
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8
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7
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7
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6
Monteiro, André Antonio
6
Ooms, Marius
6
Pozzi, Lorenzo
6
Schwaab, Bernd
6
Wijnbergen, Sweder van
6
Gautier, Pieter
5
Nielsen, Morten Ørregaard
5
Ommeren, Jos van
5
Ridder, Ad
5
Scharth, Marcel
5
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4
Daníelsson, Jón
4
Frijters, Paul
4
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4
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4
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4
Mahieu, Ronald J.
4
Marrewijk, Charles van
4
Perotti, Enrico C.
4
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4
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3
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CREATES research paper
Discussion paper / Tinbergen Institute
Discussion paper series / UCL Economics
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Working paper / National Bureau of Economic Research, Inc.
20
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41
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:
42
Modeling and estimation of synchronization in multistate Markov-switching models
Çakmaklı, Cem
;
Paap, Richard
;
Dijk, Dick van
-
2010
This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes in multiple variables, due to phase shifts of a single common cycle. The model has three key features: (i) the amount of phase shift can be different across regimes...
Persistent link: https://www.econbiz.de/10011382676
Saved in:
43
An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den
;
Paap, Richard
;
Dijk, Dick van
-
2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011383033
Saved in:
44
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:
45
A Bayesian analysis of unobserved component models using Ox
Bos, Charles S.
-
2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this articleit is argued that one...
Persistent link: https://www.econbiz.de/10011386121
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
Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.
;
Shephard, Neil G.
-
2004
Persistent link: https://www.econbiz.de/10001906792
Saved in:
48
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:
49
Business and default cycles for credit risk
Koopman, Siem Jan
;
Lucas, André
-
2003
Persistent link: https://www.econbiz.de/10001792714
Saved in:
50
Tracking growth and the business cycle : a stochastic common cycle model for the euro area
Azevedo, João Valle e
;
Koopman, Siem Jan
;
Rua, António
-
2003
Persistent link: https://www.econbiz.de/10001792789
Saved in:
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