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Global credit risk : world, country and industry factors

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2016

Persistent link: https://www.econbiz.de/10011618479

Klaassen, Franc; Teulings, Rutger - 2017

all variables proposed by theory, despite a broad set of fixed effects (FE). We find that both REERs are important and … multilateral resistances. Untangling normalization helps to get a better view of what is still unexplained by theory. …

Persistent link: https://www.econbiz.de/10011791519

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

Productivity gains from offshoring : an empirical analysis for the Netherlands

Butter, Frank A. G. den; Pattipeilohy, Christiaan - 2007 - This version: 19 November 2007

, using a recent theory on trade in tasks. A production function is estimated for the Netherlands for the period 1972-2001. It …

Persistent link: https://www.econbiz.de/10011373831

Trade, trust and transaction cost

Butter, Frank A. G. den; Mosch, Robert - 2003

Transaction costs are a major reason why international trade flows are much smaller than traditional trade theory would …

Persistent link: https://www.econbiz.de/10011334351

Systemic risk diagnostics : coincident indicators and early warning signals

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2011

components for a large data set comprising the U.S., the EU-27 area, and the respective rest of the world. Credit risk conditions …

Persistent link: https://www.econbiz.de/10009006653

Systemic risk diagnostics : coincident indicators and early warning signals

Schwaab, Bernd; Lucas, André; Koopman, Siem Jan - 2010

Persistent link: https://www.econbiz.de/10008771823

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

Model-based business cycle and financial cycle decomposition for Europe and the U.S.

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2016

We develop a multivariate unobserved components model to extract business cycle and financial cycle indicators from a panel of economic and financial time series of four large developed economies. Our model is flexible and allows for the inclusion of cycle components in different selections of...

Persistent link: https://www.econbiz.de/10011520505

Realized Wishart-GARCH : a score-driven multi-Asset volatility model

Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016

We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...

Persistent link: https://www.econbiz.de/10011520881