Similar Search Results - EconBiz

Forecasting stock returns using bilinearities in fundamentals and macroeconomic variables

Dijk, Ronald van; Kloek, Teunis; Lucas, André - 1996

Persistent link: https://www.econbiz.de/10000966934

Model-based business cycle and financial cycle decomposition for Europe and the U.S.

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2016

We develop a multivariate unobserved components model to extract business cycle and financial cycle indicators from a panel of economic and financial time series of four large developed economies. Our model is flexible and allows for the inclusion of cycle components in different selections of...

Persistent link: https://www.econbiz.de/10011520505

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

Pro-cyclicality, empirical credit cycles, and capital buffer formation

Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002

Persistent link: https://www.econbiz.de/10001718549

Stock selection, style rotation, and risk

Lucas, André; Dijk, Ronald van; Kloek, Teunis - In: Journal of empirical finance 9 (2002) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10001655776

Stock selection, style rotation, and risk

Lucas, André; Dijk, Ronald van; Kloek, Teunis - 2001

Persistent link: https://www.econbiz.de/10001554542

Round-the-clock price discovery for cross-listed stocks : US-Dutch evidence

Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - 2003

Persistent link: https://www.econbiz.de/10001792414

A non-Gaussian panel time series model for estimating and decomposing default risk

Koopman, Siem Jan; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 4, pp. 510-525

Persistent link: https://www.econbiz.de/10003772293

Credit cycles and macro fundamentals

Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - In: Journal of empirical finance 16 (2009) 1, pp. 42-54

Persistent link: https://www.econbiz.de/10003800184

Regime switches in the volatility and correlation of financial institutions

Boudt, Kris; Daníelsson, Jón; Koopman, Siem Jan; … - 2012

Persistent link: https://www.econbiz.de/10009665042

A service of the