Siem Jan Koopman - Central Bank Research Hub

Papers by year: All | 2016 | 2014 | 2013 | 2012 | 2011 | 2010 | 2004

Title Other author(s)

Global credit risk: world country and industry factors

European Central Bank Working papers [View] (Paper: 1922, 10.06.2016)

JEL: C33, G21

Measuring financial cycles with a model-based filter: Empirical evidence for the United States and the euro area

Netherlands Bank DNB Working Papers [View] (Paper: 495, 26.01.2016)

JEL: C22, C32, E30, E50, E51

The information in systemic risk rankings

European Central Bank Working papers [View] (Paper: 1875, 13.01.2016)

Nowcasting and forecasting economic growth in the euro area using principal components

Netherlands Bank DNB Working Papers [View] (Paper: 415, 19.02.2014)

Observation driven mixed-measurement dynamic factor models with an application to credit risk

European Central Bank Working papers [View] (Paper: 1626, 19.12.2013)

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

European Central Bank Working papers [View] (Paper: 1459, 27.08.2012)

JEL: C33, G21

Systemic risk diagnostics: coincident indicators and early warning signals,

European Central Bank Working papers [View] (Paper: 1327, 13.04.2011)

Common business and housing market cycles in the Euro area from a multivariate decomposition

Bank of France Working Papers [View] (Paper: Nr 275, 18.06.2010)

JEL: C13, C32, E32, R21

Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area

Bank of Portugal Working papers [View] (Paper: 200316, 05.05.2004)

JEL: C13, C32, E32

Papers by year: All | 2016 | 2014 | 2013 | 2012 | 2011 | 2010 | 2004