//--> //--> //--> //-->
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:"DNB working papers"
~isPartOf:"Department of Economics working paper series"
~isPartOf:"Department of Economics working papers"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion paper series / IZA"
~isPartOf:"Economics and finance working paper series"
~isPartOf:"HWWA discussion paper"
~isPartOf:"Report / Erasmus Center for Financial Research, Erasmus University"
~isPartOf:"Working paper / IFAU - Institute for Labour Market Policy Evaluation"
~language:"eng"
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Klaassen, Franc"
~person:"Lucas, André"
~person:"Mooij, Ruud A. de"
~person:"Wijnbergen, Sweder van"
~subject:"Business cycle"
~subject:"EU countries"
~subject:"EU-Staaten"
~subject:"Faktorenanalyse"
~subject:"Forecasting model"
~subject:"Kreditrisiko"
~subject:"Markov-Kette"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"United States"
~subject:"Volatilität"
~type:"book"
~type_genre:"Arbeitspapier"
~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
| 31 applied filters
Year of publication
From:
To:
Subject
All
Business cycle
EU countries
EU-Staaten
Faktorenanalyse
Forecasting model
Kreditrisiko
Markov-Kette
Maximum-Likelihood-Schätzung
United States
Volatilität
Theorie
168
Theory
168
Time series analysis
46
Zeitreihenanalyse
46
Estimation
38
Schätzung
38
Welt
28
World
28
USA
25
Volatility
22
Portfolio selection
19
Portfolio-Management
19
Credit risk
17
Stochastic process
15
Stochastischer Prozess
15
Capital income
14
Finanzkrise
14
Kapitaleinkommen
14
Financial crisis
13
Statistical distribution
13
Statistische Verteilung
13
State space model
12
Zustandsraummodell
12
Börsenkurs
11
Share price
11
Estimation theory
10
Impact assessment
10
Konjunktur
10
Schätztheorie
10
Wirkungsanalyse
10
ARCH model
9
ARCH-Modell
9
Bank risk
9
Bankrisiko
9
more ...
less ...
Online availability
All
Free
87
Type of publication
All
Book / Working Paper
Type of publication (narrower categories)
All
Arbeitspapier
Collection of articles written by one author
Handbuch
Non-commercial literature
Working Paper
93
Graue Literatur
91
Language
All
English
Author
All
Gil-Alaña, Luis A.
Heckman, James J.
Klaassen, Franc
Lucas, André
Mooij, Ruud A. de
Wijnbergen, Sweder van
Koopman, Siem Jan
75
Gupta, Rangan
40
Dijk, Herman K. van
33
McAleer, Michael
22
Caporale, Guglielmo Maria
21
Dijk, Dick van
17
Bos, Charles S.
16
Hoogerheide, Lennart
15
Blasques, Francisco
12
Hommes, Cars H.
11
Nijkamp, Peter
11
Vries, Casper G. de
11
Franses, Philip Hans
9
Diks, Cees G. H.
8
Gooijer, Jan G. de
8
Paap, Richard
8
Pesaran, M. Hashem
8
Pierdzioch, Christian
8
Schwaab, Bernd
8
Teulings, Coen N.
8
Guner, Nezih
7
Ooms, Marius
7
Ravazzolo, Francesco
7
Bouri, Elie
6
Creal, Drew
6
Grassi, Stefano
6
Monteiro, André Antonio
6
Perotti, Enrico C.
6
Salisu, Afees A.
6
Scharth, Marcel
6
Allen, David E.
5
Brunello, Giorgio
5
Casarin, Roberto
5
Chang, Chia-Lin
5
Gautier, Pieter
5
Jungbacker, Borus
5
more ...
less ...
Institution
All
Forschungsinstitut zur Zukunft der Arbeit
1
Hamburgisches Welt-Wirtschafts-Archiv
1
Published in...
All
DNB working papers
Department of Economics working paper series
Department of Economics working papers
Discussion paper / Tinbergen Institute
Discussion paper series / IZA
Economics and finance working paper series
HWWA discussion paper
Report / Erasmus Center for Financial Research, Erasmus University
Working paper / IFAU - Institute for Labour Market Policy Evaluation
Working paper / National Bureau of Economic Research, Inc.
20
CESifo working papers
12
Working paper series / European Central Bank
6
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
5
Discussion papers / CEPR
4
CEMMAP working papers / Centre for Microdata Methods and Practice
3
Discussion paper / Center for Economic Research, Tilburg University
3
Discussion papers / Deutsches Institut für Wirtschaftsforschung
3
Discussion papers of interdisciplinary research project 373
2
Sveriges Riksbank working paper series
2
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
1
DNB working paper
1
Discussion paper / Tinbergen Institute / Tinbergen Institute
1
Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit
1
Discussion paper series / UCL Economics
1
EUI working paper / ECO
1
Global COE Hi-Stat discussion paper series
1
NBER working paper series
1
Research memorandum / METEOR
1
Serie research memoranda / Vrije Universiteit, Faculteit der Economische Wetenschappen en Econometrie
1
Sheffield economic research paper series
1
Technical working paper / National Bureau of Economic Research
1
UCD Geary Institute discussion paper series
1
Working paper / Austrian Center for Labor Economics and the Analysis of the Welfare State
1
Working papers / Bank for International Settlements
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
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
-
2014
We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...
Persistent link: https://www.econbiz.de/10010391531
Saved in:
42
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:
43
Enhanced cooperation in an asymmetric model of tax competition
Vrijburg, Hendrik
;
Mooij, Ruud A. de
-
2009
This paper analyzes enhanced cooperation agreements in corporate taxation in a three country tax competition model where countries differ in size. We characterize equilibrium tax rates and the optimal tax responses due to the formation of an enhanced cooperation agreement. Conditions for...
Persistent link: https://www.econbiz.de/10011379630
Saved in:
44
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:
45
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:
46
Identifying the weights in exchange market pressure
Klaassen, Franc
-
2011
Exchange market pressure (EMP) measures the pressure on a currencyto depreciate. It adds to the actual depreciation a weightedcombination of policy instruments used to ward off depreciation,such as interest rates and foreign exchange interventions, where theweights are their effectiveness. The...
Persistent link: https://www.econbiz.de/10011383023
Saved in:
47
Identifying the weights in exchange market pressure
Klaassen, Franc
-
2011
Exchange market pressure (EMP) measures the pressure on a currency to depreciate. It adds to the actual depreciation a weighted combination of policy instruments used to ward off depreciation, such as interest rates and foreign exchange interventions, where the weights are their effectiveness....
Persistent link: https://www.econbiz.de/10011383120
Saved in:
48
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:
49
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:
50
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:
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...
//-->