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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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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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Model-based measurement of actual volatility in high-frequency data
Jungbacker, Borus; Koopman, Siem Jan - 2006
Persistent link: https://www.econbiz.de/10003331376
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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
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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
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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
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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
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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
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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
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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