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~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"
~language:"eng"
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Klaassen, Franc"
~person:"Koopman, Siem Jan"
~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:"Schätzung"
~subject:"United States"
~subject:"World"
~type:"book"
~type_genre:"Collection of articles written by one author"
~type_genre:"Handbuch"
~type_genre:"Non-commercial literature"
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Gil-Alaña, Luis A.
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71
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:
72
Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models
Blasques, Francisco
;
Koopman, Siem Jan
;
Mallee, Max I. P.
-
2014
The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...
Persistent link: https://www.econbiz.de/10010391543
Saved in:
73
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:
74
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
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75
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:
76
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:
77
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:
78
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
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79
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
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80
Fifty years of mincer earnings regressions
Heckman, James J.
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001760429
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