33
H index
79
i10 index
5120
Citations
Vrije Universiteit Amsterdam (90% share) | 33 H index 79 i10 index 5120 Citations RESEARCH PRODUCTION: 108 Articles 154 Papers 3 Books EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Siem Jan Koopman. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Tinbergen Institute Discussion Papers / Tinbergen Institute | 106 |
Working Paper Series / European Central Bank | 5 |
Computing in Economics and Finance 1999 / Society for Computational Economics | 2 |
Year | Title of citing document | |
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2020 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12. Full description at Econpapers || Download paper | |
2020 | To infinity and beyond: Efficient computation of ARCH(1) models. (2020). Nielsen, Morten ; Noel, Antoine L. In: CREATES Research Papers. RePEc:aah:create:2020-13. Full description at Econpapers || Download paper | |
2021 | Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09. Full description at Econpapers || Download paper | |
2021 | Long and short memory in dynamic term structure models. (2021). Huseynov, Salman. In: CREATES Research Papers. RePEc:aah:create:2021-15. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2020 | Dynamic score driven independent component analysis. (2020). Hafner, Christian ; Herwartz, Helmut. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020031. Full description at Econpapers || Download paper | |
2021 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332. Full description at Econpapers || Download paper | |
2021 | A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422. Full description at Econpapers || Download paper | |
2022 | Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318. Full description at Econpapers || Download paper | |
2022 | Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821. Full description at Econpapers || Download paper | |
2021 | Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data. (2019). Bai, Jushan ; Ng, Serena. In: Papers. RePEc:arx:papers:1910.06677. Full description at Econpapers || Download paper | |
2022 | Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273. Full description at Econpapers || Download paper | |
2020 | Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation. (2020). van Beek, Misha. In: Papers. RePEc:arx:papers:2004.09042. Full description at Econpapers || Download paper | |
2022 | Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204. Full description at Econpapers || Download paper | |
2021 | Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868. Full description at Econpapers || Download paper | |
2020 | Macroeconomic Forecasting with Fractional Factor Models. (2020). Hartl, Tobias. In: Papers. RePEc:arx:papers:2005.04897. Full description at Econpapers || Download paper | |
2022 | Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession. (2020). Diebold, Francis X. In: Papers. RePEc:arx:papers:2006.15183. Full description at Econpapers || Download paper | |
2021 | Bridging the COVID-19 Data and the Epidemiological Model using Time Varying Parameter SIRD Model. (2020). Simsek, Yasin ; Cakmakli, Cem . In: Papers. RePEc:arx:papers:2007.02726. Full description at Econpapers || Download paper | |
2021 | Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545. Full description at Econpapers || Download paper | |
2021 | A Robust Score-Driven Filter for Multivariate Time Series. (2020). Mazzocchi, Mario ; Luati, Alessandra ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2009.01517. Full description at Econpapers || Download paper | |
2022 | Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061. Full description at Econpapers || Download paper | |
2021 | The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146. Full description at Econpapers || Download paper | |
2021 | Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601. Full description at Econpapers || Download paper | |
2021 | A nowcasting approach to generate timely estimates of Mexican economic activity: An application to the period of COVID-19. (2021). Corona, Francisco ; Gonz, Graciela ; L'Opez, Jes'Us. In: Papers. RePEc:arx:papers:2101.10383. Full description at Econpapers || Download paper | |
2021 | Monitoring the pandemic: A fractional filter for the COVID-19 contact rate. (2021). Hartl, Tobias. In: Papers. RePEc:arx:papers:2102.10067. Full description at Econpapers || Download paper | |
2021 | Modeling Price Clustering in High-Frequency Prices. (2021). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2102.12112. Full description at Econpapers || Download paper | |
2022 | Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions. (2021). Ng, Serena ; Bai, Jushan ; Cahan, Ercument. In: Papers. RePEc:arx:papers:2103.03045. Full description at Econpapers || Download paper | |
2021 | Modelling uncertainty in financial tail risk: a forecasting combination and weighted quantile approach. (2021). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2104.04918. Full description at Econpapers || Download paper | |
2022 | Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673. Full description at Econpapers || Download paper | |
2021 | FX Market Volatility. (2021). Koshelev, Anton. In: Papers. RePEc:arx:papers:2104.14190. Full description at Econpapers || Download paper | |
2022 | Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T. In: Papers. RePEc:arx:papers:2106.12262. Full description at Econpapers || Download paper | |
2022 | A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263. Full description at Econpapers || Download paper | |
2021 | Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923. Full description at Econpapers || Download paper | |
2021 | Semiparametric Functional Factor Models with Bayesian Rank Selection. (2021). Kowal, Daniel R. In: Papers. RePEc:arx:papers:2108.02151. Full description at Econpapers || Download paper | |
2021 | Implicit Copulas: An Overview. (2021). Smith, Michael Stanley. In: Papers. RePEc:arx:papers:2109.04718. Full description at Econpapers || Download paper | |
2021 | Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043. Full description at Econpapers || Download paper | |
2022 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper | |
2022 | Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308. Full description at Econpapers || Download paper | |
2021 | Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149. Full description at Econpapers || Download paper | |
2022 | Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction. (2022). Salish, Nazarii ; Otto, Sven. In: Papers. RePEc:arx:papers:2201.02532. Full description at Econpapers || Download paper | |
2022 | Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices. (2022). Ricco, Giovanni ; Pellegrino, Filippo ; Hasenzagl, Thomas ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2201.05556. Full description at Econpapers || Download paper | |
2022 | High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584. Full description at Econpapers || Download paper | |
2022 | Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization. (2022). Funovits, Bernd ; Koistinen, Juho. In: Papers. RePEc:arx:papers:2202.00310. Full description at Econpapers || Download paper | |
2022 | A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146. Full description at Econpapers || Download paper | |
2022 | Score Driven Generalized Fitness Model for Sparse and Weighted Temporal Networks. (2022). di Gangi, Domenico ; Lillo, Fabrizio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2202.09854. Full description at Econpapers || Download paper | |
2022 | Dynamic Spatiotemporal ARCH Models. (2022). Otto, Philipp ; Tacspinar, Suleyman ; Dougan, Osman. In: Papers. RePEc:arx:papers:2202.13856. Full description at Econpapers || Download paper | |
2022 | Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper | |
2022 | A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate. (2022). Belkacem, Lotfi ; Boubaker, Heni ; ben Amor, Souhir. In: Papers. RePEc:arx:papers:2204.08289. Full description at Econpapers || Download paper | |
2022 | An Augmented Steady-State Kalman Filter to Evaluate the Likelihood of Linear and Time-Invariant State-Space Models. (2022). Huber, Johannes. In: Discussion Paper Series. RePEc:aug:augsbe:0343. Full description at Econpapers || Download paper | |
2021 | Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:21-14. Full description at Econpapers || Download paper | |
2021 | Networking the Yield Curve: Implications for Monetary Policy. (2021). Dahlhaus, Tatjana ; Schaumburg, Julia ; Sekhposyan, Tatevik. In: Staff Working Papers. RePEc:bca:bocawp:21-4. Full description at Econpapers || Download paper | |
2022 | Macroeconomic Predictions Using Payments Data and Machine Learning. (2022). Desai, Ajit ; Chapman, James. In: Staff Working Papers. RePEc:bca:bocawp:22-10. Full description at Econpapers || Download paper | |
2021 | Modeling and forecasting macroeconomic downside risk. (2021). Petrella, Ivan ; Delle Monache, Davide ; de Polis, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1324_21. Full description at Econpapers || Download paper | |
2021 | Exploring the sources of loan default clustering using survival analysis with frailty. (2021). Sanchez-Cajal, Fatima ; Mohamed, Abdulkadir ; Enrique, Enrique Batiz-Zuk. In: Working Papers. RePEc:bdm:wpaper:2021-14. Full description at Econpapers || Download paper | |
2021 | Labor Market Indicator for Colombia (LMI). (2021). Ramos-Veloza, Mario ; Cristiano-Botia, Deicy J ; Hernandez-Bejarano, Manuel Dario. In: Borradores de Economia. RePEc:bdr:borrec:1152. Full description at Econpapers || Download paper | |
2021 | Characterizing and Communicating the Balance of Risks of Macroeconomic Forecasts: A Predictive Density Approach for Colombia. (2021). GuarÃn López, Alexander ; Grajales-Olarte, Anderson ; Anzola-Bravo, Cesar ; Guarin, Alexander ; Mendez-Vizcaino, Juan C. In: Borradores de Economia. RePEc:bdr:borrec:1178. Full description at Econpapers || Download paper | |
2021 | Reglas fiscales subnacionales en Colombia: desde su concepción hasta los resultados frente al COVID-19. (2021). Ricciulli-Marin, Diana ; PEREZ-VALBUENA, GERSON ; Bonet, Jaime ; Barrios, Paula ; Bonet-Moron, Jaime. In: Documentos de trabajo sobre Economía Regional y Urbana. RePEc:bdr:region:297. Full description at Econpapers || Download paper | |
2021 | Indicador coincidente de actividad económica en la recesión pandémica: el caso del Caribe colombiano. (2021). Collazos-Rodriguez, Jaime Andres ; Sanabria-Dominguez, Johana ; Vidal-Alejandro, Pavel ; Orozco-Gallo, Antonio Jose. In: Documentos de trabajo sobre Economía Regional y Urbana. RePEc:bdr:region:298. Full description at Econpapers || Download paper | |
2020 | Seasonal adjustment of the Bank of Russia Payment System financial flows data. (2020). Tsvetkova, Anna ; Khabibullin, Ramis ; Turdyeva, Natalia ; Seleznev, Sergey. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps65. Full description at Econpapers || Download paper | |
2020 | Trend Fundamentals and Exchange Rate Dynamics. (2020). Kaufmann, Daniel ; Huber, Florian. In: Economica. RePEc:bla:econom:v:87:y:2020:i:348:p:1016-1036. Full description at Econpapers || Download paper | |
2021 | The Direction and Intensity of China’s Monetary Policy: A Dynamic Factor Modelling Approach*. (2021). Tsang, Andrew ; Funke, Michael. In: The Economic Record. RePEc:bla:ecorec:v:97:y:2021:i:316:p:100-122. Full description at Econpapers || Download paper | |
2021 | The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market. (2021). Zheng, Kaixin ; Tse, Yiuman ; Liu, Qingfu. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:4:p:671-692. Full description at Econpapers || Download paper | |
2021 | The sovereign yield curve and credit ratings in GIIPS. (2021). Umar, Zaghum ; Shehzad, Choudhry T ; Riaz, Yasir. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:895-916. Full description at Econpapers || Download paper | |
2021 | AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614. Full description at Econpapers || Download paper | |
2021 | Trumps tweets: Sentiment, stock market volatility, and jumps. (2021). Sun, Bianxia ; Dong, Xuyi ; Nishimura, Yusaku. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:497-512. Full description at Econpapers || Download paper | |
2021 | A dynamic factor model approach to incorporate Big Data in state space models for official statistics. (2021). Smeekes, Stephan ; Palm, Franz ; Schiavoni, Caterina ; van den Brakel, Jan. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:1:p:324-353. Full description at Econpapers || Download paper | |
2021 | Nowcasting monthly GDP with big data: A model averaging approach. (2021). Proietti, Tommaso ; Giovannelli, Alessandro. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:2:p:683-706. Full description at Econpapers || Download paper | |
2021 | Filtering the intensity of public concern from social media count data with jumps. (2021). Santagiustina, Carlo ; Iacopini, Matteo. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:4:p:1283-1302. Full description at Econpapers || Download paper | |
2020 | A Bayesian quest for finding a unified model for predicting volleyball games. (2020). Ntzoufras, Ioannis ; Egidi, Leonardo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:5:p:1307-1336. Full description at Econpapers || Download paper | |
2021 | Fused graphical lasso for brain networks with symmetries. (2021). Luati, Alessandra ; Roverato, Alberto ; Ranciati, Saverio. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:5:p:1299-1322. Full description at Econpapers || Download paper | |
2020 | Backtesting portfolio valueâ€atâ€risk with estimated portfolio weights. (2020). Pei, Pei ; Du, Zaichao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:605-619. Full description at Econpapers || Download paper | |
2020 | A family of multivariate nonâ€gaussian time series models. (2020). Soyer, Refik ; Polson, Nicholas G ; Aktekin, Tevfik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:691-721. Full description at Econpapers || Download paper | |
2021 | Mixtures of Nonlinear Poisson Autoregressions. (2021). Rynkiewicz, Joseph ; Fokianos, Konstantinos ; Doukhan, Paul. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:1:p:107-135. Full description at Econpapers || Download paper | |
2021 | Quasi?maximum likelihood estimation of conditional autoregressive Wishart models. (2021). Asai, Manabu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:271-294. Full description at Econpapers || Download paper | |
2021 | Extensions to the invariance property of maximum likelihood estimation for affine?transformed state?space models. (2021). Fernandes, Marcelo ; Pizzinga, Adrian. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:355-371. Full description at Econpapers || Download paper | |
2021 | Integer?valued asymmetric garch modeling. (2021). Andrews, Beth ; Hu, Xiaofei. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:5-6:p:737-751. Full description at Econpapers || Download paper | |
2021 | Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter. (2021). Stockhammer, Engelbert ; Gusella, Filippo. In: Metroeconomica. RePEc:bla:metroe:v:72:y:2021:i:4:p:758-797. Full description at Econpapers || Download paper | |
2021 | Modelling of Economic and Financial Conditions for Real?Time Prediction of Recessions. (2021). Çakmaklı, Cem ; Altug, Sumru ; Ircani, Hamza Dem. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:3:p:663-685. Full description at Econpapers || Download paper | |
2021 | Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*. (2021). Delle Monache, Davide ; Busetti, Fabio ; Caivano, Michele. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:4:p:982-1001. Full description at Econpapers || Download paper | |
2021 | Bayesian Inference in Spatial Stochastic Volatility Models: An Application to House Price Returns in Chicago. (2021). Chae, Jiyoung ; Doan, Osman ; Tapinar, Suleyman ; Bera, Anil K. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:5:p:1243-1272. Full description at Econpapers || Download paper | |
2021 | Accurate Confidence Regions for Principal Components Factors. (2021). Ruiz, Esther ; Maldonado, Javier. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:6:p:1432-1453. Full description at Econpapers || Download paper | |
2020 | Measuring the Financial Cycle in South Africa. (2020). Farrell, Greg ; Kemp, Esti. In: South African Journal of Economics. RePEc:bla:sajeco:v:88:y:2020:i:2:p:123-144. Full description at Econpapers || Download paper | |
2020 | Media?Based Sentiment Indices as an Alternative Measure of Consumer Confidence. (2020). Reid, Monique ; Kirsten, Johann ; Odendaal, Hanjo. In: South African Journal of Economics. RePEc:bla:sajeco:v:88:y:2020:i:4:p:409-434. Full description at Econpapers || Download paper | |
2021 | Bayesian State?Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy. (2021). Pfarrhofer, Michael ; Hauzenberger, Niko. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:123:y:2021:i:4:p:1261-1291. Full description at Econpapers || Download paper | |
2021 | Robust estimation for discrete?time state space models. (2021). Xu, Ximing ; Flemming, Joanna Mills ; Kunsch, Hans R ; Field, Chris ; Cantoni, Eva ; Aeberhard, William H. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:4:p:1127-1147. Full description at Econpapers || Download paper | |
2021 | Resolving the ambiguity of random?effects models with singular precision matrix. (2021). Lee, Youngjo ; Piepho, Hanspeter. In: Statistica Neerlandica. RePEc:bla:stanee:v:75:y:2021:i:4:p:482-499. Full description at Econpapers || Download paper | |
2022 | Autoregressive and moving average models for zero?inflated count time series. (2022). Tiwari, Rashmi ; Mukhopadhyay, Siuli ; Sathish, Vurukonda. In: Statistica Neerlandica. RePEc:bla:stanee:v:76:y:2022:i:2:p:190-218. Full description at Econpapers || Download paper | |
2020 | The United Kingdom and the stability of the Euro area: From Maastricht to Brexit. (2020). Macchiarelli, Corrado ; Campos, Nauro. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:7:p:1792-1808. Full description at Econpapers || Download paper | |
2020 | The effects of conventional and unconventional monetary policy : identification through the yield curve. (2020). Nelimarkka, Jaakko ; Kortela, Tomi . In: Research Discussion Papers. RePEc:bof:bofrdp:2020_003. Full description at Econpapers || Download paper | |
2021 | Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages. (2021). Hiroyuki, Kawakatsu. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:33-52:n:7. Full description at Econpapers || Download paper | |
2021 | Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models. (2021). Blazsek, Szabolcs ; Alvaro, Escribano ; Adrian, Licht ; Szabolcs, Blazsek. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:53-66:n:3. Full description at Econpapers || Download paper | |
2020 | An exploration of predictive football modelling. (2020). Mitchell, Pearson ; Livingston, Jr Glen ; Robert, King. In: Journal of Quantitative Analysis in Sports. RePEc:bpj:jqsprt:v:16:y:2020:i:1:p:27-39:n:5. Full description at Econpapers || Download paper | |
2020 | Constrained interest rates and changing dynamics at the zero lower bound. (2020). Strachan, Rodney ; Kaufmann, Daniel ; Baeurle, Gregor ; Rodney, Strachan ; Sylvia, Kaufmann ; Daniel, Kaufmann ; Gregor, Baurle. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:2:p:26:n:3. Full description at Econpapers || Download paper | |
2020 | Causal relationships between inflation and inflation uncertainty. (2020). JAWADI, Fredj ; Barnett, William ; William, Barnett ; ZIED, FTITI . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:5:p:26:n:4. Full description at Econpapers || Download paper | |
2021 | Outliers and misleading leverage effect in asymmetric GARCH-type models. (2021). Carnero, M. Angeles ; Angeles, Carnero M ; Ana, Perez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:19:n:2. Full description at Econpapers || Download paper | |
2020 | Dynamic Bayesian forecasting of English Premier League match results with the Skellam distribution. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Smit, Robert C. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps72. Full description at Econpapers || Download paper | |
2021 | Testing and Modelling Time Series with Time Varying Tails. (2021). Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2111. Full description at Econpapers || Download paper | |
2021 | Time series modeling of epidemics: leading indicators, control groups and policy assessment. (2021). Harvey, A C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2114. Full description at Econpapers || Download paper | |
2021 | Regime switching models for directional and linear observations. (2021). Palumbo, D ; Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2123. Full description at Econpapers || Download paper | |
2021 | Score-driven time series models. (2021). Harvey, Andrew. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2133. Full description at Econpapers || Download paper | |
2022 | A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Wu, J ; Tang, H ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2237. Full description at Econpapers || Download paper | |
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2007 | Long memory modelling of inflation with stochastic variance and structural breaks In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
2007 | Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks.(2007) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2009 | Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 10 |
2014 | SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES.(2014) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2019 | Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
2021 | Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors.(2021) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2020 | A statistical model of the global carbon budget In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers. [Full Text][Citation analysis] | paper | 5 |
2016 | Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models *.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2007 | Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 140 |
2005 | Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices.(2005) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 140 | paper | |
1992 | Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 153 |
1997 | The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 37 |
2004 | State Space Models With a Common Stochastic Variance In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 11 |
2006 | Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 46 |
2007 | Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 39 |
2008 | A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 22 |
2005 | A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: DNB Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2005 | A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2010 | Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 58 |
2011 | A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 115 |
2011 | A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 115 | article | |
2010 | A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2010) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 115 | paper | |
2010 | Common business and housing market cycles in the Euro area from a multivariate decomposition. In: Working papers. [Full Text][Citation analysis] | paper | 15 |
2008 | Model?based measurement of latent risk in time series with applications In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 2 |
2005 | Model-based Measurement of Latent Risk in Time Series with Applications.(2005) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2015 | A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 25 |
2012 | A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League.(2012) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
2019 | The analysis and forecasting of tennis matches by using a high dimensional dynamic model In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 3 |
2000 | Time series analysis of non?Gaussian observations based on state space models from both classical and Bayesian perspectives In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 82 |
1998 | Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives.(1998) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 82 | paper | |
1998 | Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives.(1998) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 82 | paper | |
2009 | Seasonality with trend and cycle interactions in unobserved components models In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 5 |
2008 | Seasonality with Trend and Cycle Interactions in Unobserved Components Models.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2010 | Multivariate non?linear time series modelling of exposure and risk in road safety research In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 4 |
2000 | Fast Filtering and Smoothing for Multivariate State Space Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 69 |
1998 | Fast Filtering and Smoothing for Multivariate State Space Models.(1998) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 69 | paper | |
1998 | Fast Filtering and Smoothing for Multivariate State Space Models.(1998) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 69 | paper | |
2003 | Filtering and smoothing of state vector for diffuse state?space models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 31 |
2010 | Likelihood functions for state space models with diffuse initial conditions In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 17 |
2008 | Likelihood Functions for State Space Models with Diffuse Initial Conditions.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2017 | Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 28 |
2014 | Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
2002 | Constructing Seasonally Adjusted Data with Time?varying Confidence Intervals In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 1 |
2001 | Constructing seasonally adjusted data with time-varying confidence intervals.(2001) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2008 | Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 40 |
2009 | Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 4 |
2006 | Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment.(2006) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2022 | Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
2002 | Discussion of ‘MCMC?based inference’ by R. Paap In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 0 |
2003 | Time Series Modelling of Daily Tax Revenues In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 9 |
1999 | Time-Series Modelling of Daily Tax Revenues.(1999) In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2001 | Time Series Modelling of Daily Tax Revenues.(2001) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2008 | Estimating systematic continuous?time trends in recidivism using a non?Gaussian panel data model In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 0 |
2007 | Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model.(2007) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2019 | Modified efficient importance sampling for partially non?Gaussian state space models In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 1 |
2004 | Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 10 |
1992 | Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 3 |
1995 | The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in Journal of Business and Economic Statistics, 15 (1997), pp.354-368.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 0 |
1996 | Multivariate Structural Time Series Models - (Now published in System Dynamics in Economic and Financial Models, CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997 In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 2 |
1997 | Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 0 |
2014 | Nowcasting and forecasting economic growth in the euro area using principal components In: DNB Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2016 | Measuring financial cycles with a model-based filter: Empirical evidence for the United States and the euro area In: DNB Working Papers. [Full Text][Citation analysis] | paper | 43 |
2017 | Modeling the business and financial cycle in a multivariate structural time series model In: DNB Working Papers. [Full Text][Citation analysis] | paper | 12 |
2011 | Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series. [Full Text][Citation analysis] | paper | 33 |
2012 | Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 In: Working Paper Series. [Full Text][Citation analysis] | paper | 30 |
2012 | Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008.(2012) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | article | |
2013 | Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series. [Full Text][Citation analysis] | paper | 51 |
2011 | Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | paper | |
2014 | Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | article | |
2016 | The information in systemic risk rankings In: Working Paper Series. [Full Text][Citation analysis] | paper | 24 |
2016 | The information in systemic risk rankings.(2016) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | article | |
2015 | The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2016 | Global credit risk: world country and industry factors In: Working Paper Series. [Full Text][Citation analysis] | paper | 14 |
2015 | Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2017 | Global Credit Risk: World, Country and Industry Factors.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2004 | Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 20 |
2003 | Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices.(2003) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
2000 | Computing Observation Weights for Signal Extraction and Filtering In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 69 |
2003 | Computing observation weights for signal extraction and filtering.(2003) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 69 | article | |
1999 | Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal. [Citation analysis] | article | 225 |
1998 | Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 225 | paper | |
1998 | Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 225 | paper | |
2000 | Signal extraction and the formulation of unobserved components models In: Econometrics Journal. [Citation analysis] | article | 53 |
1999 | Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
1999 | Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
2006 | Forecasting daily time series using periodic unobserved components time series models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 10 |
2004 | Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models.(2004) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2006 | Special Issue on Nonlinear Modelling and Financial Econometrics In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 3 |
2010 | Exact maximum likelihood estimation for non-stationary periodic time series models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 5 |
2012 | Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 8 |
2014 | Long memory with stochastic variance model: A recursive analysis for US inflation In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 12 |
2011 | Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 46 |
2011 | Maximum likelihood estimation for dynamic factor models with missing data.(2011) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
2016 | Intervention time series analysis of crime rates: The case of sentence reform in Virginia In: Economic Modelling. [Full Text][Citation analysis] | article | 3 |
2016 | Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area In: Economics Letters. [Full Text][Citation analysis] | article | 61 |
2016 | Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 61 | paper | |
2008 | The multi-state latent factor intensity model for credit rating transitions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 56 |
2005 | The Multi-State Latent Factor Intensity Model for Credit Rating Transitions.(2005) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | paper | |
2009 | Testing the assumptions behind importance sampling In: Journal of Econometrics. [Full Text][Citation analysis] | article | 21 |
2011 | Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics. [Full Text][Citation analysis] | article | 69 |
2014 | Generalized dynamic panel data models with random effects for cross-section and time In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
2014 | Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2016 | Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 12 |
2016 | Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 48 |
2014 | Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | paper | |
2014 | Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | paper | |
2019 | Accelerating score-driven time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
2020 | Long-term forecasting of El Niño events via dynamic factor simulations In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2020 | The dynamic factor network model with an application to international trade In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2020 | Partially censored posterior for robust and efficient risk evaluation In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2019 | Partially Censored Posterior for Robust and Efficient Risk Evaluation.(2019) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2021 | Missing observations in observation-driven time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
2018 | Missing Observations in Observation-Driven Time Series Models.(2018) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2022 | A time-varying parameter model for local explosions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2018 | A Time-Varying Parameter Model for Local Explosions.(2018) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2022 | Maximum likelihood estimation for score-driven models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
2017 | Maximum Likelihood Estimation for Score-Driven Models.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
1997 | Detecting shocks: Outliers and breaks in time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 22 |
1998 | Estimation of stochastic volatility models via Monte Carlo maximum likelihood In: Journal of Econometrics. [Full Text][Citation analysis] | article | 135 |
2005 | Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 299 |
2004 | Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements.(2004) In: Computing in Economics and Finance 2004. [Citation analysis] This paper has another version. Agregated cites: 299 | paper | |
2004 | Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements.(2004) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 299 | paper | |
2009 | Credit cycles and macro fundamentals In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 57 |
2006 | Credit Cycles and Macro Fundamentals.(2006) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 57 | paper | |
2006 | Credit cycles and macro fundamentals.(2006) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 57 | paper | |
2014 | Long memory dynamics for multivariate dependence under heavy tails In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 21 |
2011 | Long Memory Dynamics for Multivariate Dependence under Heavy Tails.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2008 | An hourly periodic state space model for modelling French national electricity load In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 44 |
2008 | An Hourly Periodic State Space Model for Modelling French National Electricity Load.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | paper | |
2010 | Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
2013 | Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 14 |
2011 | Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2014 | Forecasting macroeconomic variables using collapsed dynamic factor analysis In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 24 |
2012 | Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis.(2012) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2014 | Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 6 |
2016 | In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 12 |
2015 | In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2016 | Forecasting and nowcasting economic growth in the euro area using factor models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 6 |
2019 | Forecasting football match results in national league competitions using score-driven time series models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 9 |
2017 | Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2019 | Forecasting economic time series using score-driven dynamic models with mixed-data sampling In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 4 |
2018 | Forecasting economic time series using score-driven dynamic models with mixed-data sampling.(2018) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2021 | Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
2021 | Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data.(2021) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2005 | Empirical credit cycles and capital buffer formation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 31 |
2016 | The dynamic factor network model with an application to global credit risk In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2016 | The Dynamic Factor Network Model with an Application to Global Credit-Risk.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2009 | A General Framework for Observation Driven Time-Varying Parameter Models In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] | paper | 30 |
2008 | A General Framework for Observation Driven Time-Varying Parameter Models.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
2002 | The stochastic volatility in mean model: empirical evidence from international stock markets In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 104 |
2002 | The stochastic volatility in mean model: empirical evidence from international stock markets.(2002) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 104 | article | |
2004 | Convergence in European GDP series: a multivariate common converging trend-cycle decomposition In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 32 |
2005 | Business and default cycles for credit risk In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 78 |
2003 | Business and Default Cycles for Credit Risk.(2003) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 78 | paper | |
2005 | Business and default cycles for credit risk.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 78 | article | |
2010 | Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 4 |
2008 | Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2012 | Economic Trends and Cycles in Crime: A Study for England and Wales In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik). [Full Text][Citation analysis] | article | 0 |
2006 | A non-Gaussian generalization of the Airline model for robust seasonal adjustment In: Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
2011 | Kalman filtering and smoothing for modelâ€based signal extraction that depend on timeâ€varying spectra In: Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
2011 | Statistical Software for State Space Methods In: Journal of Statistical Software. [Full Text][Citation analysis] | article | 25 |
2012 | Regime switches in the volatility and correlation of financial institutions In: Working Paper Research. [Full Text][Citation analysis] | paper | 6 |
2017 | Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting In: NBP Working Papers. [Full Text][Citation analysis] | paper | 0 |
2002 | Testing the Assumptions Behind the Use of Importance Sampling In: Economics Papers. [Full Text][Citation analysis] | paper | 6 |
2015 | Information-theoretic optimality of observation-driven time series models for continuous responses In: Biometrika. [Full Text][Citation analysis] | article | 49 |
2018 | Amendments and Corrections In: Biometrika. [Full Text][Citation analysis] | article | 0 |
2007 | Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models In: Biometrika. [Full Text][Citation analysis] | article | 15 |
2012 | Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 14 |
2009 | Spot Variance Path Estimation and its Application to High Frequency Jump Testing.(2009) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2012 | The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 33 |
2011 | The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
2017 | Testing for Parameter Instability across Different Modeling Frameworks In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 5 |
2018 | Bayesian Dynamic Modeling of High-Frequency Integer Price Changes In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 2 |
2018 | Bayesian Dynamic Modeling of High-Frequency Integer Price Changes.(2018) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2019 | Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 12 |
2016 | Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2001 | Time Series Analysis by State Space Methods In: OUP Catalogue. [Citation analysis] | book | 1157 |
2012 | Time Series Analysis by State Space Methods.(2012) In: OUP Catalogue. [Citation analysis] This paper has another version. Agregated cites: 1157 | book | |
2007 | An Introduction to State Space Time Series Analysis In: OUP Catalogue. [Citation analysis] | book | 92 |
2003 | Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2003 | Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area.(2003) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2001 | An efficient and simple simulation smoother for state space time series analysis In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 8 |
1999 | Fast Estimation of Parameters in State Space Models In: Computing in Economics and Finance 1999. [Citation analysis] | paper | 0 |
2001 | Interaction between structural and cyclical shocks in production and employment In: Review of World Economics (Weltwirtschaftliches Archiv). [Full Text][Citation analysis] | article | 5 |
2013 | Modelling trigonometric seasonal components for monthly economic time series In: Applied Economics. [Full Text][Citation analysis] | article | 1 |
2010 | Modeling Trigonometric Seasonal Components for Monthly Economic Time Series.(2010) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2006 | Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models In: Econometric Reviews. [Full Text][Citation analysis] | article | 14 |
2016 | Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models In: Econometric Reviews. [Full Text][Citation analysis] | article | 5 |
2011 | Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2020 | Nonlinear autoregressive models with optimality properties In: Econometric Reviews. [Full Text][Citation analysis] | article | 2 |
2017 | Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 12 |
2015 | Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2015 | Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 10 |
2012 | Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models.(2012) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
1997 | Interaction between Supply and Demand Shocks in Production and Employment In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2000 | The Stochastic Volatility in Mean Model In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2000 | Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
2002 | Stock Index Volatility Forecasting with High Frequency Data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
2002 | Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2002 | Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2003 | Convergence in European GDP Series In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
2003 | Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2003 | Intervention Time Series Analysis of Crime Rates In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2003 | Measuring Synchronisation and Convergence of Business Cycles In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 15 |
2005 | Model-based Measurement of Actual Volatility in High-Frequency Data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2005 | Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | On Importance Sampling for State Space Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2006 | Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2014 | Likelihood-based Analysis for Dynamic Factor Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
2008 | Forecasting Cross-Sections of Frailty-Correlated Default In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2008 | The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2008 | Spline Smoothing over Difficult Regions In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | Dynamic Factor Analysis in The Presence of Missing Data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2010 | Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2010 | Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2010 | Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Systemic Risk Diagnostics In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
2011 | Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 12 |
2012 | Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2014 | Fast Efficient Importance Sampling by State Space Methods In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 62 |
2016 | Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models.(2016) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 62 | article | |
2012 | Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
2012 | Forecasting Interest Rates with Shifting Endpoints In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 26 |
2014 | Forecasting interest rates with shifting endpoints.(2014) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | article | |
2012 | A Forty Year Assessment of Forecasting the Boat Race In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2014 | Testing for Parameter Instability in Competing Modeling Frameworks In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2015 | The Dynamic Skellam Model with Applications In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Information Theoretic Optimality of Observation Driven Time Series Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2014 | Empirical Bayes Methods for Dynamic Factor Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2017 | Empirical Bayes Methods for Dynamic Factor Models.(2017) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2014 | A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 15 |
2014 | Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
2014 | Optimal Formulations for Nonlinear Autoregressive Processes In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
2014 | Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2017 | Joint Bayesian Analysis of Parameters and States in Nonlinear non?Gaussian State Space Models.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2014 | Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | In-Sample Bounds for Time-Varying Parameters of Observation Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2015 | A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model†In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Generalized Autoregressive Method of Moments In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2016 | Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S. In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2016 | Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 15 |
2017 | Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2018 | Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2019 | Bayesian Risk Forecasting for Long Horizons In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2020 | Estimation of final standings in football competitions with premature ending: the case of COVID-19 In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Forecasting in a changing world: from the great recession to the COVID-19 pandemic In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Time-varying state correlations in state space models and their estimation via indirect inference In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
1998 | Modelling bid-ask spreads in competitive dealership markets In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
1998 | Modelling bid-ask spreads in competitive dealership markets.(1998) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
1996 | Interaction between supply and demand in production and employment In: Serie Research Memoranda. [Full Text][Citation analysis] | paper | 0 |
2015 | Likelihood?based dynamic factor analysis for measurement and forecasting In: Econometrics Journal. [Full Text][Citation analysis] | article | 20 |
2013 | GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 324 |
2018 | Dynamic discrete copula models for high?frequency stock price changes In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 1 |
2021 | Unobserved components with stochastic volatility: Simulation?based estimation and signal extraction In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 0 |
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