//--> //--> //--> //-->
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:"Florax, Raymond J. G. M."
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~person:"Poot, Jacques"
~person:"Scharth, Marcel"
~person:"Teulings, Coen N."
~person:"Wijnbergen, Sweder van"
~source:"econis"
~subject:"Kreditrisiko"
~subject:"Maximum likelihood estimation"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Meta-Analyse"
~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
| 30 applied filters
Year of publication
From:
To:
Subject
All
Kreditrisiko
Maximum likelihood estimation
Maximum-Likelihood-Schätzung
Meta-Analyse
USA
United States
Volatilität
Theorie
191
Theory
191
Time series analysis
75
Zeitreihenanalyse
75
Estimation
58
Schätzung
58
State space model
44
Zustandsraummodell
44
Welt
40
World
40
Volatility
36
Stochastic process
33
Stochastischer Prozess
33
Monte Carlo simulation
26
Monte-Carlo-Simulation
26
Forecasting model
25
Prognoseverfahren
25
Finanzkrise
18
Business cycle
17
Financial crisis
17
Konjunktur
17
Börsenkurs
15
Credit risk
15
Share price
15
Cointegration
13
EU countries
13
EU-Staaten
13
Economic growth
13
Kointegration
13
Meta-analysis
13
Wirtschaftswachstum
13
Simulation
12
Capital income
11
more ...
less ...
Online availability
All
Free
86
Undetermined
3
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
99
Working Paper
99
Graue Literatur
94
Language
All
English
Author
All
Allen, David E.
Florax, Raymond J. G. M.
Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Poot, Jacques
Scharth, Marcel
Teulings, Coen N.
Wijnbergen, Sweder van
Lucas, André
39
McAleer, Michael
17
Caporale, Guglielmo Maria
16
Bos, Charles S.
13
Schwaab, Bernd
11
Groot, Henri L. F. de
8
Nijkamp, Peter
8
Vries, Casper G. de
8
Creal, Drew
7
Dijk, Herman K. van
7
Giesecke, Kay
6
Hommes, Cars H.
6
Blasques, Francisco
5
Hoerova, Marie
5
Nikolov, Kalin
5
Petrella, Ivan
5
Sluis, Pieter J. van der
5
Zhang, Xin
5
Asai, Manabu
4
Bekaert, Geert
4
Daníelsson, Jón
4
Dijk, Dick van
4
Diks, Cees G. H.
4
Gautier, Pieter
4
Hol Uspensky, Eugenie
4
Jungbacker, Borus
4
Koetse, Mark J.
4
Mahieu, Ronald J.
4
Mendicino, Caterina
4
Monteiro, André Antonio
4
Ooms, Marius
4
Perotti, Enrico C.
4
more ...
less ...
Institution
All
Hamburgisches Welt-Wirtschafts-Archiv
1
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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
Working paper / National Bureau of Economic Research, Inc.
19
Discussion paper series / IZA
14
CESifo working papers
11
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
4
School of Accounting, Finance and Economics & FEMARC working paper series
3
CEMMAP working papers / Centre for Microdata Methods and Practice
2
Discussion papers / Deutsches Institut für Wirtschaftsforschung
2
Working paper
2
CREATES research paper
1
DNB working papers
1
Discussion paper / Centre for Economic Policy Research
1
Discussion paper / Tinbergen Institute / Tinbergen Institute
1
Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit
1
EUI working paper / ECO
1
Econometric Institute research papers
1
Global COE Hi-Stat discussion paper series
1
NBER working paper series
1
Research memoranda / Vrije Universiteit, Faculteit der Economische Wetenschappen en Bedrijfskunde
1
Research memorandum / METEOR
1
Research series / Universiteit van Amsterdam
1
Sheffield economic research paper series
1
Technical working paper / National Bureau of Economic Research
1
Tinbergen Institute research series
1
UCD Geary Institute discussion paper series
1
Working paper / IFAU - Institute for Labour Market Policy Evaluation
1
Working papers / Federal Reserve Bank of Boston
1
ZEW discussion papers
1
more ...
less ...
Source
All
ECONIS (ZBW)
Showing
41
-
50
of
94
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
41
Environmental regulation and competitiveness
Mulatu, Abay
;
Florax, Raymond J. G. M.
;
Withagen, Cees
-
2001
The potential relationship between domestic environmental regulation and internationalcompetitiveness has evoked various speculations. The common neoclassical train of thought is thatstrict environmental regulation is detrimental to the competitiveness of industry, and that itinduces phenomena...
Persistent link: https://www.econbiz.de/10011316876
Saved in:
42
Education and efficient redistribution
Dur, Robert A. J.
;
Teulings, Coen N.
-
2003
-
This version: June 2003
, pre-tax income inequality decreases.We consider a Walrasian
world
with perfect capital and insurance markets. Hence, in …
Persistent link: https://www.econbiz.de/10011317437
Saved in:
43
Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan
;
Bos, Charles S.
-
2002
The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...
Persistent link: https://www.econbiz.de/10011327834
Saved in:
44
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:
45
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:
46
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:
47
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:
48
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:
49
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:
50
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:
First
Prev
1
2
3
4
5
6
7
8
9
10
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->