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Unobserved components models in macroeconomics and finance

Martin Iseringhausen (UGent)
(2019)
Author
Promoter
(UGent)
Organization
Abstract
Many objects of interest in economics and finance are not directly observable from available data. Nevertheless, these unobserved trends and events that are ‘hidden’ in economic and financial data bear relevance for policy makers and investors who want to assess the current state of the economy. This dissertation is a collection of four chapters that propose empirical models to shed light on some of these unobserved characteristics, i.e. macroeconomic volatility, crash risk and the cross-market transmission of shocks. Ultimately, the insights gained from these models can help to support the well-informed decision-making of policy makers and market participants.
Keywords
Bayesian analysis, time variation, output volatility, crash risk, financial contagion

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MLA
Iseringhausen, Martin. Unobserved Components Models in Macroeconomics and Finance. Ghent University. Faculty of Economics and Business Administration, 2019.
APA
Iseringhausen, M. (2019). Unobserved components models in macroeconomics and finance. Ghent University. Faculty of Economics and Business Administration, Ghent, Belgium.
Chicago author-date
Iseringhausen, Martin. 2019. “Unobserved Components Models in Macroeconomics and Finance.” Ghent, Belgium: Ghent University. Faculty of Economics and Business Administration.
Chicago author-date (all authors)
Iseringhausen, Martin. 2019. “Unobserved Components Models in Macroeconomics and Finance.” Ghent, Belgium: Ghent University. Faculty of Economics and Business Administration.
Vancouver
1.
Iseringhausen M. Unobserved components models in macroeconomics and finance. [Ghent, Belgium]: Ghent University. Faculty of Economics and Business Administration; 2019.
IEEE
[1]
M. Iseringhausen, “Unobserved components models in macroeconomics and finance,” Ghent University. Faculty of Economics and Business Administration, Ghent, Belgium, 2019.
@phdthesis{8637230,
  abstract     = {{Many objects of interest in economics and finance are not directly observable from available data. Nevertheless, these unobserved trends and events that are ‘hidden’ in economic and financial data bear relevance for policy makers and investors who want to assess the current state of the economy. This dissertation is a collection of four chapters that propose empirical models to shed light on some of these unobserved characteristics, i.e. macroeconomic volatility, crash risk and the cross-market transmission of shocks. Ultimately, the insights gained from these models can help to support the well-informed decision-making of policy makers and market participants.}},
  author       = {{Iseringhausen, Martin}},
  keywords     = {{Bayesian analysis,time variation,output volatility,crash risk,financial contagion}},
  language     = {{eng}},
  pages        = {{193}},
  publisher    = {{Ghent University. Faculty of Economics and Business Administration}},
  school       = {{Ghent University}},
  title        = {{Unobserved components models in macroeconomics and finance}},
  year         = {{2019}},
}