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Index option pricing models with stochastic volatility and stochastic interest rates
Jiang, George J.; Sluis, Pieter J. van der - 2000
Persistent link: https://www.econbiz.de/10001473253
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Tail behavior of credit loss distributions for general latent factor models
Lucas, André (contributor) - 2001
Persistent link: https://www.econbiz.de/10001554549
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Business and default cycles for credit risk
Koopman, Siem Jan; Lucas, André - 2003
Persistent link: https://www.econbiz.de/10001792714
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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
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Non-linearities and fractional integration in the US unemployment rate
Caporale, Guglielmo Maria (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001873870
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Labour supply and commuting : implications for optimal road taxes
Gutiérrez-i-Puigarnau, Eva; Ommeren, Jos van - 2009
Persistent link: https://www.econbiz.de/10003813771
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Dynamic factor analysis in the presence of missing data
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009
Persistent link: https://www.econbiz.de/10003813787
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A general framework for observation driven time-varying parameter models
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2008
Persistent link: https://www.econbiz.de/10003787160
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Labour supply and commuting
Gutiérrez-i-Puigarnau, Eva; Ommeren, Jos van - 2010
A new paradigm for transport economists has been established: revenues of a welfare-maximising road tax should be employed to reduce the level of a distortionary income tax. An essential modelling assumption to reach this conclusion is that the number of workdays is optimally chosen, whereas...
Persistent link: https://www.econbiz.de/10003941788
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Estimating persistence in the volatility of asset returns with signal plus noise models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
Persistent link: https://www.econbiz.de/10003963304