//--> //--> //--> //-->
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 / Tinbergen Institute"
~isPartOf:"Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit"
~isPartOf:"Discussion paper series / IZA"
~isPartOf:"HWWA discussion paper"
~isPartOf:"Working paper series / European Central Bank"
~language:"eng"
~person:"Allen, David E."
~person:"Asai, Manabu"
~person:"Brunello, Giorgio"
~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"
~person:"Teulings, Coen N."
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Meta-Analyse"
~subject:"Prognoseverfahren"
~subject:"Schätzung"
~subject:"USA"
~subject:"United States"
~subject:"Volatilität"
~subject:"Zustandsraummodell"
~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
| 29 applied filters
Year of publication
From:
To:
Subject
All
Kreditrisiko
Maximum-Likelihood-Schätzung
Meta-Analyse
Prognoseverfahren
Schätzung
USA
United States
Volatilität
Zustandsraummodell
Theorie
232
Theory
232
Time series analysis
63
Zeitreihenanalyse
63
Estimation
52
State space model
45
Volatility
42
Stochastic process
34
Stochastischer Prozess
34
Welt
30
World
30
Forecasting model
26
Monte Carlo simulation
24
Monte-Carlo-Simulation
24
Credit risk
22
Maximum likelihood estimation
21
Portfolio selection
20
Portfolio-Management
20
Statistical distribution
18
Statistische Verteilung
18
Bildungsinvestition
17
Human capital investment
17
EU countries
16
EU-Staaten
16
Business cycle
15
Konjunktur
15
Lohnstruktur
14
Wage structure
14
Börsenkurs
13
Capital income
13
Factor analysis
13
Faktorenanalyse
13
more ...
less ...
Online availability
All
Free
146
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
165
Working Paper
165
Graue Literatur
159
Language
All
English
German
1
Author
All
Allen, David E.
Asai, Manabu
Brunello, Giorgio
Florax, Raymond J. G. M.
Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Lucas, André
Sluis, Pieter J. van der
Teulings, Coen N.
Dijk, Herman K. van
29
McAleer, Michael
21
Bos, Charles S.
16
Groot, Henri L. F. de
15
Blasques, Francisco
14
Dijk, Dick van
14
Hommes, Cars H.
14
Nijkamp, Peter
14
Schneider, Friedrich
14
Schwaab, Bernd
14
Pesaran, M. Hashem
12
Vries, Casper G. de
11
Dustmann, Christian
10
Hoogerheide, Lennart
10
Jenkins, Stephen
10
Giannone, Domenico
9
Hansen, Jörgen
9
Ravazzolo, Francesco
9
Woessmann, Ludger
9
Belzil, Christian
8
Diks, Cees G. H.
8
Heshmati, Almas
8
Ooms, Marius
8
Poot, Jacques
8
Sala, Hector
8
Wasmer, Etienne
8
Amisano, Gianni
7
Berg, Gerard J. van den
7
Dées, Stéphane
7
Guner, Nezih
7
Polachek, Solomon W.
7
Wijnbergen, Sweder van
7
Zhang, Xin
7
Bańbura, Marta
6
more ...
less ...
Institution
All
Forschungsinstitut zur Zukunft der Arbeit
1
Hamburgisches Welt-Wirtschafts-Archiv
1
Published in...
All
Discussion paper / Tinbergen Institute
Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit
Discussion paper series / IZA
HWWA discussion paper
Working paper series / European Central Bank
Working paper / National Bureau of Economic Research, Inc.
21
CESifo working papers
20
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
Discussion paper / Tinbergen Institute / Tinbergen Institute
6
School of Accounting, Finance and Economics & FEMARC working paper series
6
Working paper
5
Discussion paper / Centre for Economic Policy Research
4
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
Discussion paper / Center for Economic Research, Tilburg University
2
Nota di lavoro / Fondazione ENI Enrico Mattei / Fondazione ENI Enrico Mattei
2
Nota di lavoro / Fondazione Eni Enrico Mattei
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
UCD Geary Institute discussion paper series
2
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
1
CFM discussion paper series
1
CPB discussion paper
1
CREATES research paper
1
Department of Economics working paper series
1
Discussion paper / Statistics Netherlands
1
Discussion paper series / LSE Financial Markets Group
1
Discussion paper series / UCL Economics
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
more ...
less ...
Source
All
ECONIS (ZBW)
159
Showing
81
-
90
of
159
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
81
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:
82
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
Saved in:
83
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
Saved in:
84
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:
85
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:
86
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:
87
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:
88
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:
89
Conditional and joint credit risk
Lucas, André
;
Schwaab, Bernd
;
Zhang, Xin
-
2013
Persistent link: https://www.econbiz.de/10010233247
Saved in:
90
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:
First
Prev
5
6
7
8
9
10
11
12
13
14
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->