//--> //--> //--> //-->
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:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion papers / The Centre for International Macroeconomics"
~language:"eng"
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Klaassen, Franc"
~person:"Koopman, Siem Jan"
~person:"Mahieu, Ronald J."
~person:"Wijnbergen, Sweder van"
~subject:"ARCH-Modell"
~subject:"EU-Staaten"
~subject:"Faktorenanalyse"
~subject:"Kreditrisiko"
~subject:"Markov-Kette"
~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"
~type_genre:"Working Paper"
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
| 24 applied filters
Year of publication
From:
To:
Subject
All
ARCH-Modell
EU-Staaten
Faktorenanalyse
Kreditrisiko
Markov-Kette
Maximum-Likelihood-Schätzung
Schätzung
USA
United States
Theorie
119
Theory
119
Time series analysis
55
Zeitreihenanalyse
55
State space model
44
Zustandsraummodell
44
Volatility
33
Volatilität
33
Estimation
32
Stochastic process
31
Stochastischer Prozess
31
Monte Carlo simulation
21
Monte-Carlo-Simulation
21
Forecasting model
20
Prognoseverfahren
20
Welt
20
World
20
Maximum likelihood estimation
18
EU countries
16
Business cycle
15
Konjunktur
15
Finanzkrise
13
ARCH model
12
Financial crisis
12
Credit risk
11
Kalman filter
10
Factor analysis
9
Simulation
9
Exchange rate
8
Geldpolitik
8
Monetary policy
8
Wechselkurs
8
more ...
less ...
Online availability
All
Free
72
Type of publication
All
Book / Working Paper
Type of publication (narrower categories)
All
Collection of articles written by one author
Handbuch
Non-commercial literature
Working Paper
Arbeitspapier
78
Graue Literatur
76
Language
All
English
Author
All
Gil-Alaña, Luis A.
Heckman, James J.
Klaassen, Franc
Koopman, Siem Jan
Mahieu, Ronald J.
Wijnbergen, Sweder van
Lucas, André
39
Dijk, Herman K. van
23
McAleer, Michael
14
Vries, Casper G. de
14
Nijkamp, Peter
13
Teulings, Coen N.
13
Bos, Charles S.
12
Hoogerheide, Lennart
11
Blasques, Francisco
10
Groot, Henri L. F. de
10
Dijk, Dick van
9
Paap, Richard
7
Schwaab, Bernd
7
Ardia, David
6
Monteiro, André Antonio
6
Mooij, Ruud A. de
6
Ommeren, Jos van
6
Perotti, Enrico C.
6
Pozzi, Lorenzo
6
Creal, Drew
5
Gautier, Pieter
5
Hinloopen, Jeroen
5
Jungbacker, Borus
5
Marrewijk, Charles van
5
Ooms, Marius
5
Scharth, Marcel
5
Butter, Frank A. G. den
4
Chang, Chia-Lin
4
Daníelsson, Jón
4
Frijters, Paul
4
Gooijer, Jan G. de
4
Hoogerheide, Lennart F.
4
Lelyveld, Iman van
4
Opschoor, Anne
4
Praag, Bernard M. S. van
4
Ridder, Ad
4
more ...
less ...
Institution
All
Centre for International Macroeconomics
1
Published in...
All
DNB working papers
Discussion paper / Tinbergen Institute
Discussion papers / The Centre for International Macroeconomics
Working paper / National Bureau of Economic Research, Inc.
21
CESifo working papers
15
Economics and finance working paper series
14
Discussion paper series / IZA
13
Tinbergen Institute Discussion Paper
10
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
9
Discussion papers of interdisciplinary research project 373
7
Discussion papers / Deutsches Institut für Wirtschaftsforschung
4
CEMMAP working papers / Centre for Microdata Methods and Practice
3
Discussion papers / CEPR
3
EUI working paper / ECO
3
Department of Economics working papers
2
Discussion paper / Centre for Economic Policy Research
2
Technical working paper / National Bureau of Economic Research
2
Working paper series / European Central Bank
2
cemmap working paper
2
CREATES research paper
1
CentER dissertation series / Center for Economic Research, Tilburg University : CDS
1
DNB working paper
1
Department of Economics working paper series
1
Discussion paper / Center for Economic Research, Tilburg University
1
Discussion paper / Statistics Netherlands
1
Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit
1
Discussion paper series / LSE Financial Markets Group
1
Discussion paper series / UCL Economics
1
ERIM report series research in management
1
Estudos e documentos de trabalho
1
Global COE Hi-Stat discussion paper series
1
HWWA discussion paper
1
IZA Discussion Papers
1
NBER working paper series
1
Research memorandum / METEOR
1
Sheffield economic research paper series
1
Study paper
1
UCD Geary Institute discussion paper series
1
Working paper / Austrian Center for Labor Economics and the Analysis of the Welfare State
1
Working paper / IFAU - Institute for Labour Market Policy Evaluation
1
more ...
less ...
Source
All
ECONIS (ZBW)
78
Showing
31
-
40
of
78
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
31
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
Saved in:
32
Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
2001
We construct models which enable a decision-maker to analyze the implications oftypical timeseries patterns of daily exchange rates for currency risk management. Ourapproach is Bayesianwhere extensive use is made of Markov chain Monte Carlo methods. The effects ofseveral modelcharacteristics...
Persistent link: https://www.econbiz.de/10011313921
Saved in:
33
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
Saved in:
34
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:
35
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:
36
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:
37
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:
38
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:
39
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:
40
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:
First
Prev
1
2
3
4
5
6
7
8
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->