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~subject:"Kreditrisiko"
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Kreditrisiko
Theorie
148
Theory
148
Time series analysis
80
Zeitreihenanalyse
80
Credit risk
56
Schätzung
51
Volatility
51
Volatilität
51
Estimation
50
Portfolio selection
49
Portfolio-Management
49
Forecasting model
44
Prognoseverfahren
44
Estimation theory
41
Schätztheorie
41
USA
41
United States
40
Statistical distribution
33
Statistische Verteilung
33
Capital income
26
Kapitaleinkommen
26
ARCH model
23
ARCH-Modell
23
Stochastic process
21
Stochastischer Prozess
21
EU countries
20
EU-Staaten
20
Financial crisis
20
Finanzkrise
20
Risikomaß
20
Risk measure
20
State space model
19
Zustandsraummodell
19
Börsenkurs
18
Correlation
18
Korrelation
18
Risk
18
Share price
18
Risiko
17
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Free
38
Undetermined
5
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Book / Working Paper
40
Article
16
Type of publication (narrower categories)
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Arbeitspapier
40
Working Paper
40
Graue Literatur
37
Non-commercial literature
37
Article in journal
16
Aufsatz in Zeitschrift
16
Language
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English
56
Author
All
Lucas, André
55
Koopman, Siem Jan
31
Schwaab, Bernd
22
Klaassen, Pieter
7
Zhang, Xin
7
Creal, Drew
6
Monteiro, André Antonio
6
Banachewicz, Konrad
4
Kräussl, Roman
4
Caballero, Diego
3
Calvori, Francesco
2
Daniels, Robert
2
Dubinova, Anna
2
Smirnov, Georgi V.
2
Spreij, Peter
2
Straetmans, Stefan
2
Telg, Sean
2
Daniels, Robert J.
1
Evans, Kevin P.
1
Lange, Rutger-Jan
1
Leung, W.S.
1
Siegmann, Adriaan Hendrik
1
Taylor, Nicholas
1
Vaart, Aad W. van der
1
Verhoef, Bastiaan
1
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Discussion paper / Tinbergen Institute
30
Working paper series / European Central Bank
6
Journal of banking & finance
4
Journal of applied econometrics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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 international financial markets, institutions & money
1
Journal of monetary economics
1
Serie research memoranda / Vrije Universiteit, Faculteit der Economische Wetenschappen en Econometrie
1
The review of economics and statistics
1
Working papers / Bank for International Settlements
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ECONIS (ZBW)
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1
The determinants of bank risks : evidence from the recent financial crisis
Leung, W.S.
;
Taylor, Nicholas
;
Evans, Kevin P.
- In:
Journal of international financial markets, …
34
(
2015
),
pp. 277-293
Persistent link: https://www.econbiz.de/10011474607
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
7
Credit cycles and macro fundamentals
Koopman, Siem Jan
;
Kräussl, Roman
;
Lucas, André
; …
-
2006
Persistent link: https://www.econbiz.de/10003446486
Saved in:
8
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:
9
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:
10
Forecasting cross-sections of frailty-correlated default
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
-
2008
Persistent link: https://www.econbiz.de/10003706012
Saved in:
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