Total factor productivity of twenty OECD countries for a recent period (1971-2002) is explained using six different models based on the established literature. Traditionally, entrepreneurship is not dealt with in these models. In the present paper it is shown that – when this variable is added...

Total factor productivity of twenty OECD countries for a recent period (1971-2002) is explained using six different models based on the established literature. Traditionally, entrepreneurship is not dealt with in these models. In the present paper it is shown that – when this variable is added...

Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...

We develop a novel high-dimensional non-Gaussian modeling framework to infer conditional and joint risk measures for many financial sector firms. The model is based on a dynamic Generalized Hyperbolic Skewed-t block-equicorrelation copula with time-varying volatility and dependence parameters...

This discussion paper led to an article in the <I>Journal of Business and Economic Statistics</I> (2008). Vol. 26, issue 4, pages 510-525.<p> We model 1981–2002 annual US default frequencies for a panel of firms in different rating and age classes. The data is decomposed into a systematic and...</p></i>

We model 1981–2002 annual US default frequencies for a panel of firms in different rating and age classes. The data is decomposed into a systematic and firm-specific risk component, where the systematic component reflects the general economic conditions and default climate. We have to cope...

This discussion paper led to chapter <A href="https://books.google.nl/books?id=9TKgAgAAQBAJ&pg=PA327&lpg=PA327&dq=The+contribution+of+occupation+to+health+inequality&source=bl&ots=ARvoHIjbie&sig=HWA5I2mtJbsV_nJV5cvF6ixZmT0&hl=nl&sa=X&ei=FEj0VNbeGoHlUqjsgdgN&ved=0CDwQ6AEwAg#v=onepage&q=The%20contribution%20of%20occupation%20to%20health%20inequality&f=false">Health and Inequality</A>, pages 311-332 in: (P. Rosa Dias and O. O’Donnell (Eds)) Vol. 21 of 'Research on Economic Inequality', Emerald Group Publishing, 2013, 536 pages.<P> While it seems evident that occupations affect health, effect estimates are scarce. We...</p></a>

This paper introduces two easy to calculate estimators with desirable properties for the autoregressive parameter in dynamic panel data models. The estimators are (nearly) unbiased and perform satisfactorily even for small samples in either the time-series or cross-section dimension.