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  • Search: subject:"Local adaptive"
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Year of publication
Subject
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Accuracy ratio 3 Forward default intensity 3 Local adaptive 3 Mutiperiod prediction 3 Prognoseverfahren 2 Schätzung 2 Theorie 2 Wavelets 2 enhanced spectrogram 2 forecasting 2 high-frequency processes 2 local adaptive modelling 2 local-adaptive-based testing 2 multiplicative error model 2 spectrogram significant testing 2 trading volume 2 Bank lending 1 Business cycle 1 Börsenkurs 1 Credit risk 1 EU countries 1 EU-Staaten 1 Estimation 1 Euro area 1 Eurozone 1 Forecasting model 1 Insolvency 1 Insolvenz 1 Konjunktur 1 Kreditgeschäft 1 Kreditrisiko 1 State space model 1 Statistical test 1 Statistische Bestandsanalyse 1 Statistischer Test 1 Theory 1 Time series analysis 1 USA 1 Zeitreihenanalyse 1 Zustandsraummodell 1
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Online availability
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Free 7
Type of publication
All
Book / Working Paper 5 Article 2
Type of publication (narrower categories)
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Working Paper 3 Arbeitspapier 1 Article 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
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Language
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English 5 Undetermined 2
Author
All
Härdle, Wolfgang Karl 4 Hautsch, Nikolaus 2 Klejmová, Eva 2 Kučerová, Zuzana 2 Mihoci, Andrija 2 Poměnková, Jitka 2 Prastyo, Dedy Dwi 2 Härdle, Wolfgang 1
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2
Published in...
All
SFB 649 Discussion Paper 2 SFB 649 Discussion Papers 2 Baltic Journal of Economics 1 Baltic journal of economics 1 SFB 649 discussion paper 1
Source
All
EconStor 3 ECONIS (ZBW) 2 RePEc 2
Showing 1 - 7 of 7
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Cyclicality in lending activity of Euro area in pre- and post- 2008 crisis: A local-adaptive-based testing of wavelets
Poměnková, Jitka; Klejmová, Eva; Kučerová, Zuzana - In: Baltic Journal of Economics 19 (2019) 1, pp. 155-175
The paper deals with the identification of time-frequency regions describing cyclicality of bank loans before, during and after the 2008 crisis via wavelets. We bring new methods and findings about the short and medium cycles of loans provided to corporates and households in the Euro Area in...
Persistent link: https://www.econbiz.de/10013470735
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Cyclicality in lending activity of Euro area in pre- and post- 2008 crisis : a local-adaptive-based testing of wavelets
Poměnková, Jitka; Klejmová, Eva; Kučerová, Zuzana - In: Baltic journal of economics 19 (2019) 1, pp. 155-175
The paper deals with the identification of time-frequency regions describing cyclicality of bank loans before, during and after the 2008 crisis via wavelets. We bring new methods and findings about the short and medium cycles of loans provided to corporates and households in the Euro Area in...
Persistent link: https://www.econbiz.de/10012010281
Saved in:
Cover Image
Localising forward intensities for multiperiod corporate default
Härdle, Wolfgang Karl - 2014
Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other … delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and the selection of … against the global FIA that employs all past observations. For the six months prediction horizon, the local adaptive FIA …
Persistent link: https://www.econbiz.de/10010427052
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Cover Image
Localising Forward Intensities for Multiperiod Corporate Default
Prastyo, Dedy Dwi; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other … delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and the selection of … against the global FIA that employs all past observations. For the six months prediction horizon, the local adaptive FIA …
Persistent link: https://www.econbiz.de/10010895343
Saved in:
Cover Image
Localising forward intensities for multiperiod corporate default
Prastyo, Dedy Dwi; Härdle, Wolfgang - 2014
Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other … delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and the selection of … against the global FIA that employs all past observations. For the six months prediction horizon, the local adaptive FIA …
Persistent link: https://www.econbiz.de/10010403045
Saved in:
Cover Image
Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are …
Persistent link: https://www.econbiz.de/10010330969
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Cover Image
Local Adaptive Multiplicative Error Models for High-Frequency Forecasts
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are …
Persistent link: https://www.econbiz.de/10010544325
Saved in:
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