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~isPartOf:"Department of Economics working papers"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion paper series / UCL Economics"
~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:"Janssen, Maarten C. W."
~person:"Koopman, Siem Jan"
~person:"Poot, Jacques"
~person:"Scharth, Marcel"
~person:"Wijnbergen, Sweder van"
~source:"econis"
~type:"book"
~type_genre:"Handbuch"
~type_genre:"Non-commercial literature"
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Allen, David E.
Florax, Raymond J. G. M.
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71
Dynamic factor analysis in the presence of missing data
Jungbacker, Borus
;
Koopman, Siem Jan
;
Wel, Michel van der
-
2011
This paper concerns estimating parameters in a high-dimensional dynamic factormodel by the method of maximum likelihood. To accommodate missing data in theanalysis, we propose a new model representation for the dynamic factor model. Itallows the Kalman filter and related smoothing methods to...
Persistent link: https://www.econbiz.de/10011377572
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72
Imperfect information, lagged labor adjustment and the great moderation
Willems, Tim
;
Wijnbergen, Sweder van
-
2012
This paper first documents the increase in the time lag with which labor input reacts to output fluctuations (the labor adjustment lag) that is visible in US data since the mid-1980s. We show that a lagged labor adjustment response is optimal in a setting where there is uncertainty about the...
Persistent link: https://www.econbiz.de/10011378349
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73
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
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74
Models with time-varying mean and variance : a robust analysis of US industrial production
Bos, Charles S.
;
Koopman, Siem Jan
-
2010
Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions...
Persistent link: https://www.econbiz.de/10011379641
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75
Modeling trigonometric seasonal components for monthly economic time series
Hindrayanto, Irma
;
Aston, John A.D.
;
Koopman, Siem Jan
; …
-
2010
The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this paper we explore a generalisation of the basic structural time series model in which the time-varying trigonometric terms associated with different seasonal...
Persistent link: https://www.econbiz.de/10011379642
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76
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
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77
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:
78
Catching hipo's : screening, wages and unemployment
Janssen, Maarten C. W.
-
2000
In this paper, I study the wage a firm sets to attract high abilityworkers (hipo's) in situationsof unemployment. I show that the higher unemployment, the larger afirm's incentives to sorthigh and low ability workers. Moreover, workers will signal their(high) ability in situationsof (high)...
Persistent link: https://www.econbiz.de/10011303310
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79
The stochastic volatility in mean model
Koopman, Siem Jan
;
Hol Uspensky, Eugenie
-
2000
In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...
Persistent link: https://www.econbiz.de/10011303314
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80
Continuous time trading in markets with adverse selection
Janssen, Maarten C. W.
;
Karamychev, Vladimir A.
-
2000
We investigate the nature of the adverse selection problem in a market for adurable goodwhere trading and entry of new buyers and sellers takes place in continuoustime. In thecontinuous time model equilibria with properties that are qualitativelydifferent from thestatic equilibria, emerge....
Persistent link: https://www.econbiz.de/10011304379
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