Similar Search Results

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

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

Systemic risk diagnostics : coincident indicators and early warning signals

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

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

Tracking growth and the business cycle : a stochastic common cycle model for the euro area

Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003

Persistent link: https://www.econbiz.de/10001792789

Measuring asymmetric stochastic cycle components in US macroeconomic time series

Koopman, Siem Jan; Lee, Kai Ming - 2005

Persistent link: https://www.econbiz.de/10003115944

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

Does trade integration imply growth in Latin America? : evidence from a dynamic spatial spillover model

Blasques, F.; Gorgi, P.; Koopman, Siem Jan; Sampi, J. - 2023

To investigate the role of intra-regional trade integration on economic growth in Latin America, we develop a multilevel spatial production network model with time-varying parameters. The theoretical model is established for a multi-country and multi-sectoral economy. The reduced-form...

Persistent link: https://www.econbiz.de/10014233425

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

Persistent link: https://www.econbiz.de/10003973316

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/10009126699

Joint independent metropolis-hastings methods for nonlinear non-Gaussian state space models

Barra, Istvan; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2013

Persistent link: https://www.econbiz.de/10010191411