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Model-Based Measurement of Latent Risk in Time Series with Applications
Bijleveld, Frits - 2006
we introduce a general multivariate framework for the time series analysis of risk that is modeled as a latent process … present a general model for the analysis of risk and discuss its statistical treatment based on linear state space methods … the general methodology can be effectively used in the assessment of risk …
Persistent link: https://www.econbiz.de/10012734846
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A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
Koopman, Siem Jan - 2005
decomposed into a systematic and firm-specific risk component, where the systematic component reflects the general economic …
Persistent link: https://www.econbiz.de/10012736328
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Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices
Kilian, Lutz - 2014
Models that treat innovations to the price of energy as predetermined with respect to U.S. macroeconomic aggregates are widely used in the literature. For example, it is common to order energy prices first in recursively identified VAR models of the transmission of energy price shocks. Since...
Persistent link: https://www.econbiz.de/10012708607
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Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters
Koopman, Siem Jan - 2011
In this paper we introduce time-varying parameters in the dynamic Nelson-Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different maturities, known as the term structure. The Nelson-Siegel model has been recently reformulated as a dynamic factor model...
Persistent link: https://www.econbiz.de/10012714319