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~isPartOf:"DNB working papers"
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~isPartOf:"Sheffield economic research paper series"
~language:"eng"
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Klaassen, Franc"
~person:"Koopman, Siem Jan"
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~subject:"EU-Staaten"
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31
The importance of accounting for time trends when estimating the Euro effect on trade
Bun, Maurice J. G.
;
Klaassen, Franc
-
2004
To study the effect of the euro on international goods trade one typically estimates a panel model for the level of trade. Trade levels increase over time, and we show that this is not fully explained by the included regressors. Because the euro is only present at the end of the sample, this may...
Persistent link: https://www.econbiz.de/10011334328
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32
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
-
2015
We study the performance of alternative methods for calculating in-sample confidence and out of-sample forecast bands for time-varying parameters. The in-sample bands reflect parameter uncertainty only. The out-of-sample bands reflect both parameter uncertainty and innovation uncertainty. The...
Persistent link: https://www.econbiz.de/10011295703
Saved in:
33
Financial fragility and the Keynesian multiplier
Kwaak, Christiaan van der
;
Wijnbergen, Sweder van
-
2017
Persistent link: https://www.econbiz.de/10011787935
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34
Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng
;
Koopman, Siem Jan
-
2018
We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...
Persistent link: https://www.econbiz.de/10011809984
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35
Has the Euro increased trade?
Bun, Maurice J. G.
;
Klaassen, Franc
-
2002
A major economic reason for the introduction of the euro was its supposedly positive effect on intra-EMU trade. Existing studies examine this suspicion indirectly using non-EMU data and report ambiguous results. We estimate the euro-effect directly from data that include EMU observations. Using...
Persistent link: https://www.econbiz.de/10011327839
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36
In-sample bounds for time-varying parameters of observation driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
-
2015
We study the performance of two analytical methods and one simulation method for computing in-sample confidence bounds for time-varying parameters. These in-sample bounds are designed to reflect parameter uncertainty in the associated filter. They are applicable to the complete class of...
Persistent link: https://www.econbiz.de/10010484891
Saved in:
37
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
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38
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
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39
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
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40
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
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