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~subject:"Kreditrisiko"
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Kreditrisiko
Theorie
155
Theory
143
Zeitreihenanalyse
90
Time series analysis
83
Schätztheorie
65
Estimation theory
63
Credit risk
59
Schätzung
51
Estimation
48
Portfolio-Management
46
Portfolio selection
43
USA
42
Statistische Verteilung
37
Statistical distribution
36
Volatilität
35
United States
34
Volatility
34
Prognoseverfahren
28
Forecasting model
27
credit risk
24
Kapitaleinkommen
22
Capital income
21
EU countries
21
EU-Staaten
21
Stochastic process
21
Stochastischer Prozess
21
Konjunktur
20
Zustandsraummodell
20
time-varying parameters
20
Financial crisis
19
State space model
19
ARCH model
18
ARCH-Modell
18
Correlation
18
Finanzkrise
18
Monte Carlo simulation
18
Monte-Carlo-Simulation
18
Risikomaß
18
Risk measure
18
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Free
47
Undetermined
4
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Book / Working Paper
49
Article
16
Type of publication (narrower categories)
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Working Paper
49
Arbeitspapier
42
Graue Literatur
39
Non-commercial literature
39
Article in journal
16
Aufsatz in Zeitschrift
16
Language
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English
65
Author
All
Lucas, André
65
Koopman, Siem Jan
37
Schwaab, Bernd
26
Klaassen, Pieter
10
Zhang, Xin
8
Creal, Drew
6
Monteiro, André Antonio
6
Banachewicz, Konrad
5
Kräussl, Roman
4
Caballero, Diego
3
Daniels, Robert
3
Spreij, Peter
3
Straetmans, Stefan
3
Calvori, Francesco
2
Dubinova, Anna
2
Smirnov, Georgi V.
2
Telg, Sean
2
Daniels, Robert J.
1
Lange, Rutger-Jan
1
Siegmann, Adriaan Hendrik
1
Vaart, Aad W. van der
1
Verhoef, Bastiaan
1
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Discussion paper / Tinbergen Institute
31
Tinbergen Institute Discussion Paper
7
Working paper series / European Central Bank
6
Journal of banking & finance
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of applied econometrics
2
Applied mathematical finance
1
CFS working paper series
1
DNB working paper
1
International journal of forecasting
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of forecasting
1
Journal of monetary economics
1
Serie research memoranda / Vrije Universiteit, Faculteit der Economische Wetenschappen en Econometrie
1
Sveriges Riksbank working paper series
1
The review of economics and statistics
1
Working papers / Bank for International Settlements
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ECONIS (ZBW)
58
EconStor
7
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1
Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
Banachewicz, Konrad
;
Lucas, André
- In:
Journal of forecasting
27
(
2008
)
7
,
pp. 566-586
Persistent link: https://www.econbiz.de/10003779594
Saved in:
2
A non-Gaussian panel time series model for estimating and decomposing default risk
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
4
,
pp. 510-525
Persistent link: https://www.econbiz.de/10003772293
Saved in:
3
A non-Gaussian panel time series model for estimatingand decomposing default risk
Koopman, Siem Jan
;
Lucas, André
;
Daniels, Robert J.
-
2005
Persistent link: https://www.econbiz.de/10003321902
Saved in:
4
Discrete versus continuous state switching models for portfolio credit risk
Lucas, André
;
Klaassen, Pieter
- In:
Journal of banking & finance
30
(
2006
)
1
,
pp. 23-35
Persistent link: https://www.econbiz.de/10003285592
Saved in:
5
Quantile forecasting for credit risk management using possibly mis-specified Hidden Markov Models
Banachewicz, Konrad
;
Lucas, André
-
2007
Persistent link: https://www.econbiz.de/10003482655
Saved in:
6
Credit cycles and macro fundamentals
Koopman, Siem Jan
;
Kräussl, Roman
;
Lucas, André
; …
-
2006
Persistent link: https://www.econbiz.de/10003446486
Saved in:
7
Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
-
2010
Persistent link: https://www.econbiz.de/10003973286
Saved in:
8
Observation driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, …
-
2011
Persistent link: https://www.econbiz.de/10008907851
Saved in:
9
Forecasting cross-sections of frailty-correlated default
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
-
2008
Persistent link: https://www.econbiz.de/10003706012
Saved in:
10
Credit cycles and macro fundamentals
Koopman, Siem Jan
;
Kräussl, Roman
;
Lucas, André
; …
-
2006
Persistent link: https://www.econbiz.de/10003300919
Saved in:
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