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Monte Carlo maximum likelihood estimation for generalized long-memory time series models

Mesters, G.; Koopman, Siem Jan; Ooms, Marius - 2011

Persistent link: https://www.econbiz.de/10009720782

Predicting time-varying parameters with parameter-driven and observation-driven models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2012

Persistent link: https://www.econbiz.de/10009722696

Global macro-financial shocks and expected default frequencies in the euro area

Castrén, Olli (contributor); Dées, Stéphane (contributor) - 2008

Modelling the link between the global macro-financial factors and firms’ default probabilities constitutes an elementary part of financial sector stress-testing frameworks. Using the Global Vector Autoregressive (GVAR) model and constructing a linking satellite equation for the firm-level...

Persistent link: https://www.econbiz.de/10003748979

Forecasting world trade : direct versus "bottom-up" approaches

Burgert, Matthias (contributor); … - 2008

In a globalised world economy, global factors have become increasingly important to explain trade flows at the expense … world trade is directly forecasted at the aggregate levels, relative to "bottom-up" approaches, where world trade results …