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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

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

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

Dynamic factor models with macro, frailty and industry effects for US default counts : the credit crisis of 2008

Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2012

Persistent link: https://www.econbiz.de/10009765151

Systemic risk diagnostics : coincident indicators and early warning signals

Schwaab, Bernd; Lucas, André; Koopman, Siem Jan - 2010

Persistent link: https://www.econbiz.de/10008771823

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