//--> //--> //--> //-->
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 / IZA"
~isPartOf:"Discussion paper series / UCL Economics"
~language:"eng"
~person:"Bos, Charles S."
~person:"Florax, Raymond J. G. M."
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Meta-Analyse"
~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
| 20 applied filters
Year of publication
From:
To:
Subject
All
Kreditrisiko
Maximum-Likelihood-Schätzung
Meta-Analyse
Schätzung
USA
United States
Volatilität
Theorie
154
Theory
154
Time series analysis
58
Zeitreihenanalyse
58
State space model
47
Zustandsraummodell
47
Stochastic process
35
Stochastischer Prozess
35
Volatility
35
Estimation
34
Monte Carlo simulation
26
Monte-Carlo-Simulation
26
Forecasting model
20
Prognoseverfahren
20
Maximum likelihood estimation
19
Welt
15
World
15
ARCH model
13
ARCH-Modell
13
Bayes-Statistik
12
Bayesian inference
12
Business cycle
12
Konjunktur
12
Simulation
12
Factor analysis
11
Faktorenanalyse
11
Markov chain
11
Markov-Kette
11
Credit risk
10
Kalman filter
10
Sampling
9
Stichprobenerhebung
9
Bildungsinvestition
8
EU countries
8
more ...
less ...
Online availability
All
Free
87
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
96
Working Paper
96
Graue Literatur
92
Language
All
English
Author
All
Bos, Charles S.
Florax, Raymond J. G. M.
Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Lucas, André
39
McAleer, Michael
18
Groot, Henri L. F. de
15
Nijkamp, Peter
14
Schneider, Friedrich
14
Teulings, Coen N.
14
Vries, Casper G. de
11
Blasques, Francisco
10
Dijk, Herman K. van
10
Hommes, Cars H.
9
Jenkins, Stephen
8
Poot, Jacques
8
Woessmann, Ludger
8
Guner, Nezih
7
Heshmati, Almas
7
Polachek, Solomon W.
7
Sala, Hector
7
Schwaab, Bernd
7
Wijnbergen, Sweder van
7
Berg, Gerard J. van den
6
Creal, Drew
6
Dijk, Dick van
6
Gautier, Pieter
6
Ommeren, Jos van
6
Pesaran, M. Hashem
6
Pozzi, Lorenzo
6
Belzil, Christian
5
Dustmann, Christian
5
Frijters, Paul
5
Hansen, Jörgen
5
Ooms, Marius
5
Praag, Bernard M. S. van
5
Praag, Mirjam van
5
Scharth, Marcel
5
Sluis, Pieter J. van der
5
Wasmer, Etienne
5
more ...
less ...
Institution
All
Forschungsinstitut zur Zukunft der Arbeit
1
Published in...
All
Discussion paper / Tinbergen Institute
Discussion paper series / IZA
Discussion paper series / UCL Economics
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
Discussion papers / Deutsches Institut für Wirtschaftsforschung
4
CEMMAP working papers / Centre for Microdata Methods and Practice
3
EUI working paper / ECO
3
Department of Economics working papers
2
Technical working paper / National Bureau of Economic Research
2
Working paper series / European Central Bank
2
CORE discussion paper : DP
1
CREATES research paper
1
Department of Economics working paper series
1
Discussion paper / Statistics Netherlands
1
Discussion paper / Tinbergen Institute / Tinbergen Institute
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
Economics discussion papers
1
Estudos e documentos de trabalho
1
Global COE Hi-Stat discussion paper series
1
HWWA discussion paper
1
NBER working paper series
1
Research memorandum / METEOR
1
Sheffield economic research paper series
1
Study paper
1
UCD Geary Institute discussion paper series
1
Working paper / Austrian Center for Labor Economics and the Analysis of the Welfare State
1
Working paper / IFAU - Institute for Labour Market Policy Evaluation
1
Working papers / Federal Reserve Bank of Boston
1
ZEW discussion papers
1
more ...
less ...
Source
All
ECONIS (ZBW)
92
Showing
41
-
50
of
92
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
41
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
-
2014
We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...
Persistent link: https://www.econbiz.de/10010391531
Saved in:
42
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:
43
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:
44
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:
45
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:
46
A Bayesian analysis of unobserved component models using Ox
Bos, Charles S.
-
2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this articleit is argued that one...
Persistent link: https://www.econbiz.de/10011386121
Saved in:
47
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:
48
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:
49
Fifty years of mincer earnings regressions
Heckman, James J.
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001760429
Saved in:
50
Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.
;
Shephard, Neil G.
-
2004
Persistent link: https://www.econbiz.de/10001906792
Saved in:
First
Prev
1
2
3
4
5
6
7
8
9
10
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->