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~isPartOf:"Discussion paper / Tinbergen Institute"
~language:"eng"
~person:"Arping, Stefan"
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~person:"Klaassen, Franc"
~person:"Koopman, Siem Jan"
~subject:"EU-Staaten"
~subject:"Kreditrisiko"
~subject:"Markov-Kette"
~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"
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Arping, Stefan
Gil-Alaña, Luis A.
Heckman, James J.
Klaassen, Franc
Koopman, Siem Jan
Lucas, André
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21
Measuring synchronisation and convergence of business cycles
Koopman, Siem Jan
;
Azevedo, João Valle e
-
2003
This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series model. Weintroduce mechanisms that allow for increasing or diminishing phase shifts and for time-varyingassociation patterns in different...
Persistent link: https://www.econbiz.de/10011333890
Saved in:
22
The importance of accounting for time trends when estimating the Euro effect on trade
Bun, Maurice J. G.
;
Klaassen, Franc
-
2004
To study the effect of the euro on international goods trade one typically estimates a panel model for the level of trade. Trade levels increase over time, and we show that this is not fully explained by the included regressors. Because the euro is only present at the end of the sample, this may...
Persistent link: https://www.econbiz.de/10011334328
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23
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:
24
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:
25
Has the Euro increased trade?
Bun, Maurice J. G.
;
Klaassen, Franc
-
2002
A major economic reason for the introduction of the euro was its supposedly positive effect on intra-EMU trade. Existing studies examine this suspicion indirectly using non-EMU data and report ambiguous results. We estimate the euro-effect directly from data that include EMU observations. Using...
Persistent link: https://www.econbiz.de/10011327839
Saved in:
26
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:
27
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
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28
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
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29
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:
30
Identifying the weights in exchange market pressure
Klaassen, Franc
-
2011
Exchange market pressure (EMP) measures the pressure on a currencyto depreciate. It adds to the actual depreciation a weightedcombination of policy instruments used to ward off depreciation,such as interest rates and foreign exchange interventions, where theweights are their effectiveness. The...
Persistent link: https://www.econbiz.de/10011383023
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