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~type_genre:"Aufsatz im Buch"
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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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2
Trend-cycle decomposition models with smooth-transition parameters: Evidence from US economic time series
Koopman, Siem Jan
;
Lee, Kai Ming
;
Wong, Soon Yip
- In:
Nonlinear time series analysis of business cycles
,
(pp. 199-219)
.
2006
Persistent link: https://www.econbiz.de/10003312252
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3
Model-based measurement of actual volatility in high-frequency data
Jungbacker, Borus
;
Koopman, Siem Jan
-
2006
Persistent link: https://www.econbiz.de/10003331376
Saved in:
4
Parameter estimation and practical aspects of modeling stochastic volatility
Jungbacker, Borus
;
Koopman, Siem Jan
- In:
Handbook of financial time series
,
(pp. 313-344)
.
2009
Persistent link: https://www.econbiz.de/10003833957
Saved in:
5
Common business and housing market cycles in the Euro area from a multivariate decomposition
Ferrara, Laurent
;
Koopman, Siem Jan
- In:
Housing markets in Europe : a macroeconomic perspective
,
(pp. 105-128)
.
2010
Persistent link: https://www.econbiz.de/10008822715
Saved in:
6
State space modeling in macroeconomics and finance using SsfPack in S+Finmetrics
Zivot, Eric
;
Wang, Jeffrey
;
Koopman, Siem Jan
- In:
State space and unobserved component models : theory …
,
(pp. 284-335)
.
2004
Persistent link: https://www.econbiz.de/10009719920
Saved in:
7
The common converging trend-cycle model : estimation, modeling and an application to European convergence
Luginbuhl, Rob
;
Koopman, Siem Jan
- In:
Monographs of official statistics : papers and …
,
(pp. 264-291)
.
2004
Persistent link: https://www.econbiz.de/10003398184
Saved in:
8
A comparison of parametric semi-nonparametric, adaptive, and nonparametric cointegration tests
Boswijk, Herman Peter
;
Lucas, André
;
Taylor, Nicholas
- In:
Applying Kernel and nonparametric estimation to …
,
(pp. 25-47)
.
2000
Persistent link: https://www.econbiz.de/10001548459
Saved in:
9
Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads
Lange, Rutger-Jan
;
Lucas, André
;
Siegmann, Adriaan Hendrik
- In:
Systemic risk tomography : signals, measurement and …
,
(pp. 129-150)
.
2017
Persistent link: https://www.econbiz.de/10011617892
Saved in:
10
Fat tails and the effect on optimal asset allocations
Lucas, André
;
Klaassen, Pieter
- In:
Bank strategies and challenges in the new Europe
,
(pp. 272-288)
.
2001
Persistent link: https://www.econbiz.de/10001630871
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