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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

Outlier detection in cointegration analysis

Franses, Philip Hans - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 4, pp. 459-468

Persistent link: https://www.econbiz.de/10001251800

Forecasting stock returns using bilinearities in fundamentals and macroeconomic variables

Dijk, Ronald van; Kloek, Teunis; Lucas, André - 1996

Persistent link: https://www.econbiz.de/10000966934

Testing for ARCH in the presence of addiative outliers

Dijk, Dick van; Franses, Philip Hans; Lucas, André - In: Journal of applied econometrics 14 (1999) 5, pp. 539-562

Persistent link: https://www.econbiz.de/10001421498

A non-Gaussian panel time series model for estimating and decomposing default risk

Koopman, Siem Jan; Lucas, André; Daniels, Robert - 2005

Persistent link: https://www.econbiz.de/10002982977

Pro-cyclicality, empirical credit cycles, and capital buffer formation

Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002

Persistent link: https://www.econbiz.de/10001718549

Stock selection, style rotation, and risk

Lucas, André; Dijk, Ronald van; Kloek, Teunis - In: Journal of empirical finance 9 (2002) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10001655776

Stock selection, style rotation, and risk

Lucas, André; Dijk, Ronald van; Kloek, Teunis - 2001

Persistent link: https://www.econbiz.de/10001554542

Testing for smooth transition nonlinearity in the presence of outliers

Dijk, Dick van; Franses, Philip Hans; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 2, pp. 217-235

Persistent link: https://www.econbiz.de/10001410684

Model-based business cycle and financial cycle decomposition for Europe and the United States

Koopman, Siem Jan; Lit, Rutger; Lucas, André - In: Systemic risk tomography : signals, measurement and …, (pp. 151-168). 2017

Persistent link: https://www.econbiz.de/10011617896

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