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21
A general framework for observation driven time-varying parameter models
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
-
2009
Persistent link: https://www.econbiz.de/10003854422
Saved in:
22
Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model
Koopman, Siem Jan
;
Lucas, André
;
Ooms, Marius
; …
-
2007
Persistent link: https://www.econbiz.de/10003482698
Saved in:
23
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
Saved in:
24
Credit cycles and macro fundamentals
Koopman, Siem Jan
;
Kräussl, Roman
;
Lucas, André
; …
-
2006
Persistent link: https://www.econbiz.de/10003446486
Saved in:
25
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:
26
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
-
2010
Persistent link: https://www.econbiz.de/10003973316
Saved in:
27
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:
28
The multi-state latent factor intensity model for credit rating transitions
Koopman, Siem Jan
;
Lucas, André
;
Monteiro, André Antonio
- In:
Journal of econometrics
142
(
2008
)
1
,
pp. 399-424
Persistent link: https://www.econbiz.de/10003608208
Saved in:
29
Forecasting cross-sections of frailty-correlated default
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
-
2008
Persistent link: https://www.econbiz.de/10003706012
Saved in:
30
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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