//--> //--> //--> //-->
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:"Department of Economics working papers"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion paper series / UCL Economics"
~isPartOf:"Discussion papers / CEPR"
~isPartOf:"Discussion papers of interdisciplinary research project 373"
~isPartOf:"Economics and finance working paper series"
~isPartOf:"HWWA discussion paper"
~isPartOf:"Working paper series / European Central Bank"
~language:"eng"
~person:"Allen, David E."
~person:"Caporale, Guglielmo Maria"
~person:"Florax, Raymond J. G. M."
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~person:"Müller, Gernot J."
~person:"Ooms, Marius"
~person:"Poot, Jacques"
~person:"Scharth, Marcel"
~person:"Wijnbergen, Sweder van"
~source:"econis"
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Meta-Analyse"
~subject:"Prognoseverfahren"
~subject:"Schätzung"
~subject:"USA"
~subject:"United States"
~subject:"Volatilität"
~type:"book"
~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
| 33 applied filters
Year of publication
From:
To:
Subject
All
Kreditrisiko
Maximum-Likelihood-Schätzung
Meta-Analyse
Prognoseverfahren
Schätzung
USA
United States
Volatilität
Theorie
183
Theory
183
Time series analysis
79
Zeitreihenanalyse
79
Estimation
58
Welt
49
World
49
State space model
44
Zustandsraummodell
44
Volatility
39
Stochastic process
33
Stochastischer Prozess
33
Forecasting model
26
Monte Carlo simulation
26
Monte-Carlo-Simulation
26
Finanzkrise
19
Business cycle
18
Financial crisis
18
Konjunktur
18
Maximum likelihood estimation
18
Börsenkurs
17
Credit risk
17
Share price
17
EU countries
15
EU-Staaten
15
Cointegration
14
Kointegration
14
Economic growth
13
Exchange rate
13
Meta-analysis
13
Simulation
13
Wechselkurs
13
more ...
less ...
Online availability
All
Free
129
Undetermined
7
Type of publication
All
Book / Working Paper
Type of publication (narrower categories)
All
Collection of articles written by one author
Handbuch
Non-commercial literature
Arbeitspapier
148
Working Paper
148
Graue Literatur
141
Language
All
English
Author
All
Allen, David E.
Caporale, Guglielmo Maria
Florax, Raymond J. G. M.
Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Müller, Gernot J.
Ooms, Marius
Poot, Jacques
Scharth, Marcel
Wijnbergen, Sweder van
Lucas, André
47
Dijk, Herman K. van
27
McAleer, Michael
21
Groot, Henri L. F. de
15
Bos, Charles S.
14
Dijk, Dick van
14
Hommes, Cars H.
14
Schwaab, Bernd
14
Blasques, Francisco
13
Teulings, Coen N.
13
Nijkamp, Peter
12
Vries, Casper G. de
11
Hoogerheide, Lennart
10
Marcellino, Massimiliano
10
Giannone, Domenico
9
Ravazzolo, Francesco
9
Diks, Cees G. H.
8
Amisano, Gianni
7
Creal, Drew
7
Dées, Stéphane
7
Lenza, Michele
7
Petrella, Ivan
7
Zhang, Xin
7
Bańbura, Marta
6
Bekaert, Geert
6
Giesecke, Kay
6
Gooijer, Jan G. de
6
Grassi, Stefano
6
Kilian, Lutz
6
Paap, Richard
6
Pozzi, Lorenzo
6
more ...
less ...
Institution
All
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
7
Hamburgisches Welt-Wirtschafts-Archiv
1
Published in...
All
Department of Economics working papers
Discussion paper / Tinbergen Institute
Discussion paper series / UCL Economics
Discussion papers / CEPR
Discussion papers of interdisciplinary research project 373
Economics and finance working paper series
HWWA discussion paper
Working paper series / European Central Bank
CESifo working papers
33
Working paper / National Bureau of Economic Research, Inc.
20
Discussion paper series / IZA
15
Discussion paper / Centre for Economic Forecasting
12
Discussion papers / Deutsches Institut für Wirtschaftsforschung
11
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
9
School of Accounting, Finance and Economics & FEMARC working paper series
6
CEMMAP working papers / Centre for Microdata Methods and Practice
3
Discussion paper / Centre for Economic Policy Research
3
EUI working paper / ECO
3
Discussion paper
2
Global economic institutions working paper series
2
Technical working paper / National Bureau of Economic Research
2
Working paper
2
CREATES research paper
1
Cambridge working papers in economics
1
Cambridge-INET working papers
1
DNB working papers
1
Department of Economics working paper series
1
Discussion paper / Statistics Netherlands
1
Discussion paper / Tinbergen Institute / Tinbergen Institute
1
Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit
1
Discussion paper series / LSE Financial Markets Group
1
Discussion papers / The Centre for International Macroeconomics
1
ECONtribute discussion paper
1
Econometric Institute research papers
1
Estudos e documentos de trabalho
1
Global COE Hi-Stat discussion paper series
1
Ifo working papers
1
NBER working paper series
1
Research memoranda / Vrije Universiteit, Faculteit der Economische Wetenschappen en Bedrijfskunde
1
Research memorandum / METEOR
1
more ...
less ...
Source
All
ECONIS (ZBW)
Showing
71
-
80
of
141
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
71
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:
72
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:
73
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:
74
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:
75
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:
76
Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan
;
Bos, Charles S.
-
2002
Persistent link: https://www.econbiz.de/10001718624
Saved in:
77
Meta-analysis of the impact of fiscal policies on long-run growth
Nijkamp, Peter
;
Poot, Jacques
-
2002
Persistent link: https://www.econbiz.de/10001659005
Saved in:
78
The stochastic volatility on mean model : empirical evidence from international stock markets
Koopman, Siem Jan
;
Uspensky, Eugenie Hol
-
2000
Persistent link: https://www.econbiz.de/10001472890
Saved in:
79
Business and default cycles for credit risk
Koopman, Siem Jan
;
Lucas, André
-
2003
Persistent link: https://www.econbiz.de/10001792714
Saved in:
80
Tracking growth and the business cycle : a stochastic common cycle model for the euro area
Azevedo, João Valle e
;
Koopman, Siem Jan
;
Rua, António
-
2003
Persistent link: https://www.econbiz.de/10001792789
Saved in:
First
Prev
4
5
6
7
8
9
10
11
12
13
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->