Search Results - subject:"Intensity Models"

Modelling financial high frequency data using point processes

Bauwens, Luc; Hautsch, Nikolaus - 2007

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price...

Persistent link: https://www.econbiz.de/10010263710

Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market

Nolte, Ingmar; Voev, Valeri - 2007

We develop a panel intensity model, with a time varying latent factor, which captures the influence of unobserved time effects and allows for correlation across individuals. The model is designed to analyze individual trading behavior on the basis of trading activity datasets, which are...

Persistent link: https://www.econbiz.de/10010266949

Modelling Financial High Frequency Data Using Point Processes

Bauwens, Luc; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

powerful for the modelling of multivariate processes. Different types of dynamic intensity models are presented in Section 4. 2 … intensity models. One im- portant extension of a homogenous Poisson process it to allow the intensity to be directed by a real … of intensity models which is relevant in the literature of financial point processes is given by a specification where …

Persistent link: https://www.econbiz.de/10005678003

Credit Cycles and Macro Fundamentals

Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - Center for Financial Studies - 2007

Component Models, Intensity Models, Monte Carlo Likelihood. 1 Introduction Systematic credit risk factors play a dominant … rating and default data at the micro level using intensity models with unobserved common risk factors. The data used are …

Persistent link: https://www.econbiz.de/10005120791

Credit cycles and macro fundamentals

Koopman, Siem Jan; Kräussl, Roman; Lucas, André - 2006

We study the relation between the credit cycle and macro economic fundamentals in an intensity based framework. Using rating transition and default data of U.S. corporates from Standard and Poor's over the period 1980-2005 we directly estimate the credit cycle from the micro rating data. We...

Persistent link: https://www.econbiz.de/10010298347

Credit Cycles and Macro Fundamentals

Koopman, Siem Jan; Kraeussl, Roman; Lucas, Andre; … - 2006

We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using rating transition and default data of U.S. corporates from Standard and Poor’s over the period 1980—2005 we directly estimate the credit cycle from the micro rating data. We...

Persistent link: https://www.econbiz.de/10010325522

Credit Cycles and Macro Fundamentals

Koopman, Siem Jan; Kraeussl, Roman; Lucas, Andre; … - Tinbergen Instituut - 2006

This discussion paper resulted in an article in the Journal of Empirical Finance (2009). Vol. 16, issue 1, pages 42-54. We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using rating transition and default data of U.S. corporates from...

Persistent link: https://www.econbiz.de/10011257078

Credit cycles and macro fundamentals

Koopman, Siem Jan; Kräussl, Roman; Lucas, André - Center for Financial Studies - 2006

We study the relation between the credit cycle and macro economic fundamentals in an intensity based framework. Using rating transition and default data of U.S. corporates from Standard and Poors over the period 19802005 we directly estimate the credit cycle from the micro rating data. We relate...

Persistent link: https://www.econbiz.de/10010986487

Credit Cycles and Macro Fundamentals

Koopman, Siem Jan; Kraeussl, Roman; Lucas, Andre; … - Tinbergen Institute - 2006

Persistent link: https://www.econbiz.de/10005136965

Credit cycles and macro fundamentals

Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - 2006

We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using rating transition and default data of U.S. corporates from Standard and Poor’s over the period 1980-2005 we directly estimate the credit cycle from the micro rating data. We...

Persistent link: https://www.econbiz.de/10011348707