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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
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Modeling around-the-clock price discovery for cross-listed stocks using state space methods
Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 2, pp. 213-225
Persistent link: https://www.econbiz.de/10003463648
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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
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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
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Forecasting cross-sections of frailty-correlated default
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2008
Persistent link: https://www.econbiz.de/10003706012
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Dynamic factor models with macro, frailty and industry effects for US default counts : the credit crisis of 2008
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2012
Persistent link: https://www.econbiz.de/10009765151
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Regime switches in the volatility and correlation of financial institutions
Boudt, Kris; Daníelsson, Jón; Koopman, Siem Jan; … - 2012
Persistent link: https://www.econbiz.de/10009665042
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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
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Observation-driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, … - In: The review of economics and statistics 96 (2014) 5, pp. 898-915
Persistent link: https://www.econbiz.de/10010470540
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Systemic risk diagnostics : coincident indicators and early warning signals
Schwaab, Bernd; Lucas, André; Koopman, Siem Jan - 2010
Persistent link: https://www.econbiz.de/10008771823