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~isPartOf:"DNB working papers"
~isPartOf:"Discussion paper / Tinbergen Institute"
~language:"eng"
~person:"Gil-Alaña, Luis A."
~person:"Klaassen, Franc"
~person:"Koopman, Siem Jan"
~person:"Wijnbergen, Sweder van"
~subject:"EU-Staaten"
~subject:"Faktorenanalyse"
~subject:"Forecasting model"
~subject:"Kreditrisiko"
~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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Gil-Alaña, Luis A.
Klaassen, Franc
Koopman, Siem Jan
Wijnbergen, Sweder van
Lucas, André
31
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13
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31
The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model
Gorgi, P.
;
Koopman, Siem Jan
;
Lit, R.
-
2018
We propose a basic high-dimensional dynamic model for tennis match results with time varying player-specific abilities for different court surface types. Our statistical model can be treated in a likelihood-based analysis and is capable of handling high-dimensional datasets while the number of...
Persistent link: https://www.econbiz.de/10011794344
Saved in:
32
Forecasting economic time series using score-driven dynamic models with mixeddata sampling
Gorgi, Paolo
;
Koopman, Siem Jan
;
Li, Mengheng
-
2018
We introduce a mixed-frequency score-driven dynamic model for multiple time series where the score contributions from high-frequency variables are transformed by means of a mixed-data sampling weighting scheme. The resulting dynamic model delivers a flexible and easy-to-implement framework for...
Persistent link: https://www.econbiz.de/10011809978
Saved in:
33
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:
34
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:
35
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
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36
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:
37
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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38
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:
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
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