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~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Technical working paper / National Bureau of Economic Research"
~language:"eng"
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Koopman, Siem Jan"
~person:"Mahieu, Ronald J."
~subject:"Business cycle"
~subject:"Credit risk"
~subject:"Schätzung"
~type_genre:"Collection of articles written by one author"
~type_genre:"Non-commercial literature"
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Gil-Alaña, Luis A.
Heckman, James J.
Koopman, Siem Jan
Mahieu, Ronald J.
Lucas, André
25
Teulings, Coen N.
10
Dijk, Herman K. van
8
Groot, Henri L. F. de
8
Nijkamp, Peter
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Discussion paper / Tinbergen Institute
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ECONIS (ZBW)
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1
Global credit risk :
world
, country and industry factors
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
-
2015
area sovereign debt crises. We find that macro and default-specific
world
factors are a primary source of default …
Persistent link: https://www.econbiz.de/10010484886
Saved in:
2
Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
2000
-
rev.
Persistent link: https://www.econbiz.de/10001554496
Saved in:
3
Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
1999
Persistent link: https://www.econbiz.de/10001412189
Saved in:
4
Generalized dynamic panel data models with random effects for cross-section and time
Mesters, Geert
;
Koopman, Siem Jan
-
2012
Persistent link: https://www.econbiz.de/10009722706
Saved in:
5
Systemic risk diagnostics : coincident indicators and early warning signals
Schwaab, Bernd
;
Lucas, André
;
Koopman, Siem Jan
-
2010
Persistent link: https://www.econbiz.de/10008771823
Saved in:
6
Seasonality with trend and cycle interactions in unobserved components models
Koopman, Siem Jan
;
Lee, Kai Ming
-
2008
Unobserved components time series models decompose a time series into a trend, a season, a cycle, an irregular disturbance, and possibly other components. These models have been successfully applied to many economic time series. The standard assumption of a linear model, often appropriate after...
Persistent link: https://www.econbiz.de/10011374413
Saved in:
7
The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew
;
Koopman, Siem Jan
;
Zivot, Eric
-
2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10011376640
Saved in:
8
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:
9
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:
10
Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
1999
Exchange rates typically exhibit time-varying patterns in both means andvariances. The histograms of such series indicate heavy tails. In thispaper we construct models which enable a decision-maker to analyze theimplications of such time series patterns for currency risk management.Our approach...
Persistent link: https://www.econbiz.de/10011302131
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