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~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion paper series / UCL Economics"
~isPartOf:"HWWA discussion 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:"Paap, Richard"
~person:"Sluis, Pieter J. van der"
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Meta-Analyse"
~subject:"Prognoseverfahren"
~subject:"Schätzung"
~subject:"Theorie"
~subject:"USA"
~subject:"United States"
~subject:"Volatilität"
~type:"book"
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Allen, David E.
Asai, Manabu
Florax, Raymond J. G. M.
Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Lucas, André
Paap, Richard
Sluis, Pieter J. van der
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118
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91
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:
92
Risk aversion under preference uncertainty
Kräussl, Roman
;
Lucas, André
;
Siegmann, Adriaan Hendrik
-
2010
We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...
Persistent link: https://www.econbiz.de/10011382430
Saved in:
93
Modeling and estimation of synchronization in multistate Markov-switching models
Çakmaklı, Cem
;
Paap, Richard
;
Dijk, Dick van
-
2010
This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes in multiple variables, due to phase shifts of a single common cycle. The model has three key features: (i) the amount of phase shift can be different across regimes...
Persistent link: https://www.econbiz.de/10011382676
Saved in:
94
An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den
;
Paap, Richard
;
Dijk, Dick van
-
2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011383033
Saved in:
95
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:
96
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:
97
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:
98
Post-sample prediction tests for the efficient method of moments
Sluis, Pieter J. van der
-
1997
In this paper a post-sample prediction test is derived forestimators based on the Efficient Method of Moments. The mainadvantage of this particular test over other stability tests isthat no time-consuming estimation of the structural parameters forthe post-sample is needed. The asymptotic...
Persistent link: https://www.econbiz.de/10010337324
Saved in:
99
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:
100
A dynamic utility maximization model for product category consumption
Oest, Rutger van
;
Franses, Philip Hans
;
Paap, Richard
-
2002
Persistent link: https://www.econbiz.de/10001732766
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