//--> //--> //--> //-->
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 / UCL Economics"
~language:"eng"
~person:"Florax, Raymond J. G. M."
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Klaassen, Franc"
~person:"Koopman, Siem Jan"
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Schätzung"
~subject:"USA"
~subject:"United States"
~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
| 17 applied filters
Year of publication
From:
To:
Subject
All
Kreditrisiko
Maximum-Likelihood-Schätzung
Schätzung
USA
United States
Theorie
106
Theory
106
Time series analysis
50
Zeitreihenanalyse
50
State space model
43
Zustandsraummodell
43
Stochastic process
27
Stochastischer Prozess
27
Volatility
26
Volatilität
26
Estimation
24
Monte Carlo simulation
23
Monte-Carlo-Simulation
23
Forecasting model
20
Prognoseverfahren
20
Maximum likelihood estimation
18
EU countries
13
EU-Staaten
13
Business cycle
11
Konjunktur
11
Simulation
11
Welt
11
World
11
ARCH model
10
ARCH-Modell
10
Credit risk
10
Kalman filter
10
Factor analysis
9
Faktorenanalyse
9
Economic growth
8
Meta-Analyse
8
Meta-analysis
8
Wirtschaftswachstum
8
Markov chain
7
Markov-Kette
7
more ...
less ...
Online availability
All
Free
49
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
52
Working Paper
52
Graue Literatur
50
Language
All
English
Author
All
Florax, Raymond J. G. M.
Gil-Alaña, Luis A.
Heckman, James J.
Klaassen, Franc
Koopman, Siem Jan
Lucas, André
28
Teulings, Coen N.
13
Dijk, Herman K. van
10
Bos, Charles S.
9
Groot, Henri L. F. de
9
Vries, Casper G. de
9
McAleer, Michael
8
Nijkamp, Peter
8
Blasques, Francisco
7
Pozzi, Lorenzo
6
Schwaab, Bernd
6
Gautier, Pieter
5
Ommeren, Jos van
5
Ooms, Marius
5
Scharth, Marcel
5
Wijnbergen, Sweder van
5
Butter, Frank A. G. den
4
Daníelsson, Jón
4
Dijk, Dick van
4
Frijters, Paul
4
Mahieu, Ronald J.
4
Monteiro, André Antonio
4
Perotti, Enrico C.
4
Praag, Bernard M. S. van
4
Wel, Michel van der
4
Alessie, Rob
3
Allen, David E.
3
Arping, Stefan
3
Asai, Manabu
3
Creal, Drew
3
Dur, Robert A. J.
3
Hommes, Cars H.
3
Jungbacker, Borus
3
Kwaak, Christiaan van der
3
Marrewijk, Charles van
3
Paap, Richard
3
Poot, Jacques
3
more ...
less ...
Published in...
All
Discussion paper / Tinbergen Institute
Discussion paper series / UCL Economics
Working paper / National Bureau of Economic Research, Inc.
20
Discussion paper series / IZA
13
CESifo working papers
12
Economics and finance working paper series
11
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
9
Discussion papers of interdisciplinary research project 373
7
CEMMAP working papers / Centre for Microdata Methods and Practice
3
Discussion papers / Deutsches Institut für Wirtschaftsforschung
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
CREATES research paper
1
CentER dissertation series / Center for Economic Research, Tilburg University : CDS
1
Department of Economics working paper series
1
Discussion paper / Center for Economic Research, Tilburg University
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
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)
50
Showing
21
-
30
of
50
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
21
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
-
2015
We study the performance of alternative methods for calculating in-sample confidence and out of-sample forecast bands for time-varying parameters. The in-sample bands reflect parameter uncertainty only. The out-of-sample bands reflect both parameter uncertainty and innovation uncertainty. The...
Persistent link: https://www.econbiz.de/10011295703
Saved in:
22
Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng
;
Koopman, Siem Jan
-
2018
We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...
Persistent link: https://www.econbiz.de/10011809984
Saved in:
23
In-sample bounds for time-varying parameters of observation driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
-
2015
We study the performance of two analytical methods and one simulation method for computing in-sample confidence bounds for time-varying parameters. These in-sample bounds are designed to reflect parameter uncertainty in the associated filter. They are applicable to the complete class of...
Persistent link: https://www.econbiz.de/10010484891
Saved in:
24
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:
25
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:
26
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:
27
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:
28
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:
29
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:
30
Business and default cycles for credit risk
Koopman, Siem Jan
;
Lucas, André
-
2003
Persistent link: https://www.econbiz.de/10001792714
Saved in:
First
Prev
1
2
3
4
5
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->