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The dynamic factor network model with an application to global credit risk

Bräuning, Falk; Koopman, Siem Jan - 2016 - This version: October 31, 2016

We introduce a dynamic network model with probabilistic link functions that depend on stochastically time-varying parameters. We adopt the widely used blockmodel framework and allow the highdimensional vector of link probabilities to be a function of a low-dimensional set of dynamic factors. The...

Persistent link: https://www.econbiz.de/10011562907

Modelling bid-ask spreads in competitive dealership markets

Koopman, Siem Jan; Lai, Hung-neng - 1999

Persistent link: https://www.econbiz.de/10001415847

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/10001853337

Directed search in the housing market

Albrecht, James W.; Gautier, Pieter; Vroman, Susan B. - 2010

Persistent link: https://www.econbiz.de/10003943687

Time-varying state correlations in state space models and their estimation via indirect inference

Schiavoni, Caterina; Koopman, Siem Jan; Palm, Franz C.; … - 2021

Persistent link: https://www.econbiz.de/10012436055

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