Fingerprint The fingerprint is based on mining the text of the scientific documents related to the associated persons. Based on that an index of weighted terms is created, which defines the key subjects of research unit

Model Mathematics
Volatility Mathematics
Forecasting Mathematics
Credit Risk Mathematics
Time-varying Mathematics
Heterogeneous Agents Mathematics
Dynamic Factor Model Mathematics
Time Series Models Mathematics

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Profiles

Photo of Michela Altieri
20162017
Photo of M. Boes

M. Boes

Person: Academic

20072018

Research Output 1979 2018

A dynamic network model of the unsecured interbank lending market

Blasques, F., Bräuning, F. & Lelyveld, I. V. May 2018 In : Journal of Economic Dynamics and Control. 90, p. 310-342 33 p.

Research output: Contribution to journalArticle

Dynamic Networks
Network Model
Dynamic Model
Credit Risk
Monitoring

A Stochastic Recurrence Equations Approach for Score Driven Correlation Models

Blasques, F., Lucas, A. & Silde, E. 2018 In : Econometric Reviews. 37, 2, p. 166-181

Research output: Contribution to journalArticle

Decomposition
Sufficiency
Rescaling
Maximum likelihood estimator
Asymptotic normality

Bank Business Models at Zero Interest Rates

Lucas, A., Schaumburg, J. & Schwaab, B. 25 May 2018 (Accepted/In press) In : Journal of Business and Economic Statistics. p. 1-14 14 p.

Research output: Contribution to journalArticle

Business Model
Interest Rates
interest rate
bank
Zero