//--> //--> //--> //-->
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:"Discussion paper / Center for Economic Research, Tilburg University"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion paper series / IZA"
~isPartOf:"Discussion paper series / UCL Economics"
~isPartOf:"HWWA discussion paper"
~isPartOf:"School of Economics and Finance working paper series"
~isPartOf:"Study paper"
~language:"eng"
~person:"Allen, David E."
~person:"Asai, Manabu"
~person:"Florax, Raymond J. G. M."
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~person:"Lucas, André"
~person:"Sluis, Pieter J. van der"
~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
| 28 applied filters
Year of publication
From:
To:
Subject
All
Kreditrisiko
Maximum-Likelihood-Schätzung
Meta-Analyse
Prognoseverfahren
Schätzung
USA
United States
Volatilität
Theorie
190
Theory
190
Time series analysis
66
Zeitreihenanalyse
66
State space model
45
Zustandsraummodell
45
Volatility
43
Estimation
39
Stochastic process
34
Stochastischer Prozess
34
Forecasting model
25
Monte Carlo simulation
24
Monte-Carlo-Simulation
24
Maximum likelihood estimation
21
Welt
21
World
21
Credit risk
18
Estimation theory
15
Portfolio selection
15
Portfolio-Management
15
Schätztheorie
15
Statistical distribution
15
Statistische Verteilung
15
Börsenkurs
14
Share price
14
Business cycle
13
Capital income
13
Factor analysis
13
Faktorenanalyse
13
Kapitaleinkommen
13
Konjunktur
13
Simulation
12
ARCH model
11
more ...
less ...
Online availability
All
Free
112
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
129
Working Paper
129
Graue Literatur
124
Language
All
English
Author
All
Allen, David E.
Asai, Manabu
Florax, Raymond J. G. M.
Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Lucas, André
Sluis, Pieter J. van der
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
Nijkamp, Peter
14
Schneider, Friedrich
14
Teulings, Coen N.
14
Blasques, Francisco
13
Vries, Casper G. de
11
Hoogerheide, Lennart
10
Diks, Cees G. H.
8
Heshmati, Almas
8
Jenkins, Stephen
8
Pesaran, M. Hashem
8
Poot, Jacques
8
Schwaab, Bernd
8
Woessmann, Ludger
8
Guner, Nezih
7
Polachek, Solomon W.
7
Ravazzolo, Francesco
7
Sala, Hector
7
Wijnbergen, Sweder van
7
Berg, Gerard J. van den
6
Creal, Drew
6
Gautier, Pieter
6
Gooijer, Jan G. de
6
Grassi, Stefano
6
Klaassen, Franc
6
Ommeren, Jos van
6
Ooms, Marius
6
Paap, Richard
6
Pozzi, Lorenzo
6
Scharth, Marcel
6
more ...
less ...
Institution
All
Forschungsinstitut zur Zukunft der Arbeit
1
Hamburgisches Welt-Wirtschafts-Archiv
1
Published in...
All
Discussion paper / Center for Economic Research, Tilburg University
Discussion paper / Tinbergen Institute
Discussion paper series / IZA
Discussion paper series / UCL Economics
HWWA discussion paper
School of Economics and Finance working paper series
Study paper
Working paper / National Bureau of Economic Research, Inc.
20
CESifo working papers
14
Economics and finance working paper series
13
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
9
Discussion papers of interdisciplinary research project 373
7
School of Accounting, Finance and Economics & FEMARC working paper series
6
Working paper series / European Central Bank
6
Discussion paper / Tinbergen Institute / Tinbergen Institute
5
Working paper
5
Discussion papers / Deutsches Institut für Wirtschaftsforschung
4
CEMMAP working papers / Centre for Microdata Methods and Practice
3
EUI working paper / ECO
3
Econometric Institute research papers
3
Department of Economics working papers
2
Report / Erasmus Center for Financial Research, Erasmus University
2
Sveriges Riksbank working paper series
2
Technical working paper / National Bureau of Economic Research
2
CREATES research paper
1
Department of Economics working paper series
1
Discussion paper / Statistics Netherlands
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
Estudos e documentos de trabalho
1
Global COE Hi-Stat discussion paper series
1
IMES discussion paper series / Englische Ausgabe
1
NBER working paper series
1
Research memorandum / METEOR
1
Research report / Graduate School Research Institute Systems, Organisations and Management
1
Rotterdam Institute for Business Economic Studies
1
Rotterdams Instituut voor Bedrijfseconomische Studies : RIBES
1
Serie research memoranda / Vrije Universiteit, Faculteit der Economische Wetenschappen en Econometrie
1
Sheffield economic research paper series
1
more ...
less ...
Source
All
ECONIS (ZBW)
124
Showing
61
-
70
of
124
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
61
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:
62
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:
63
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:
64
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:
65
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:
66
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:
67
Computationally attractive stability tests for the efficient method of moments
Sluis, Pieter J. van der
-
1997
Estimation using simulation techniques may be very time consuming. Specification tests for structuralstability often require more than one of such computationally demanding estimators. Typically one for thesample, one for the post-sample and one for the combination of sample and post-sample is...
Persistent link: https://www.econbiz.de/10010339446
Saved in:
68
Fifty years of mincer earnings regressions
Heckman, James J.
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001760429
Saved in:
69
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:
70
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:
First
Prev
3
4
5
6
7
8
9
10
11
12
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->