Siem Jan Koopman : Citation Profile

Are you Siem Jan Koopman?

Vrije Universiteit Amsterdam (50% share)
Tinbergen Instituut (50% share)

26

H index

49

i10 index

2864

Citations

RESEARCH PRODUCTION:

86

Articles

137

Papers

3

Books

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   26 years (1992 - 2018). See details.
   Cites by year: 110
   Journals where Siem Jan Koopman has often published
   Relations with other researchers
   Recent citing documents: 313.    Total self citations: 157 (5.2 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pko46
   Updated: 2018-09-15    RAS profile: 2018-08-22    
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Relations with other researchers

Works with:

Lucas, Andre (37)

Blasques, Francisco (21)

Schwaab, Bernd (10)

Creal, Drew (6)

Mesters, Geert (6)

de Winter, Jasper (4)

Wintenberger, Olivier (4)

Bräuning, Falk (3)

Nucera, Federico (3)

Galati, Gabriele (3)

Ooms, Marius (3)

Łasak, Katarzyna (3)

Hindrayanto, Irma (2)

Schaumburg, Julia (2)

Li, Mengheng (2)

Vujić, Sunčica (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Siem Jan Koopman.

Is cited by:

Lucas, Andre (109)

Proietti, Tommaso (93)

Harvey, Andrew (68)

McAleer, Michael (52)

Asai, Manabu (51)

Schwaab, Bernd (44)

Zhang, Xin (41)

Ruiz, Esther (40)

Shephard, Neil (40)

Catania, Leopoldo (32)

Delle Monache, Davide (30)

Cites to:

Lucas, Andre (158)

Shephard, Neil (102)

Bollerslev, Tim (91)

Harvey, Andrew (88)

Reichlin, Lucrezia (72)

Creal, Drew (71)

Engle, Robert (69)

Diebold, Francis (67)

Watson, Mark (63)

Giannone, Domenico (47)

Blasques, Francisco (37)

Main data

Where Siem Jan Koopman has published?

Journals with more than one article published# docs
Journal of Business & Economic Statistics8
Journal of Econometrics8
International Journal of Forecasting7
Computational Statistics & Data Analysis5
Journal of Applied Econometrics5
Journal of Empirical Finance4
Journal of Financial Econometrics4
Journal of Applied Econometrics4
Statistica Neerlandica3
Journal of Time Series Analysis3
The Review of Economics and Statistics3
Journal of Business & Economic Statistics3
Oxford Bulletin of Economics and Statistics3
Journal of the Royal Statistical Society Series C2
Biometrika2
Journal of Forecasting2
Journal of the Royal Statistical Society Series A2
Econometrics Journal2
Journal of Economic Dynamics and Control2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute95
Working Paper Series / European Central Bank5
Computing in Economics and Finance 1999 / Society for Computational Economics2

Recent works citing Siem Jan Koopman (2018 and 2017)

YearTitle of citing document
2017Cointegration between trends and their estimators in state space models and CVAR models. (2017). Tabor, Morten ; Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2017-11.

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2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2017The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment. (2017). Tabor, Morten ; Johansen, Soren ; Rahbek, Anders ; Frydman, Roman . In: CREATES Research Papers. RePEc:aah:create:2017-23.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2017-26.

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2018A Parametric Factor Model of the Term Structure of Mortality. (2018). Haldrup, Niels. In: CREATES Research Papers. RePEc:aah:create:2018-06.

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2017Twenty Years of Time Series Econometrics in Ten Pictures. (2017). Stock, James H ; Watson, Mark W. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:31:y:2017:i:2:p:59-86.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk). (2017). Patton, Andrew J ; Chen, Rui ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1707.05108.

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2017An Alternative Estimation Method of a Time-Varying Parameter Model. (2017). Noda, Akihiko ; Wada, Tatsuma ; Ito, Mikio . In: Papers. RePEc:arx:papers:1707.06837.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2017A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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2017A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527.

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2017A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market. (2017). Mazzarisi, Piero ; Tantari, Daniele ; Lillo, Fabrizio ; Barucca, Paolo. In: Papers. RePEc:arx:papers:1801.00185.

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2018Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Ravazzolo, Francesco ; Rossini, Luca ; Gianfreda, Angelica. In: Papers. RePEc:arx:papers:1801.01093.

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2018Synthetic Control Methods and Big Data. (2018). Kinn, Daniel. In: Papers. RePEc:arx:papers:1803.00096.

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2018A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2018). Buccheri, Giuseppe ; Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1803.04894.

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2018Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization. (2018). White, Alan . In: Papers. RePEc:arx:papers:1803.07843.

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2018A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Wang, Chao ; Chen, Qian ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1807.02422.

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2018Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model. (2018). Majewski, Adam ; Bouchaud, Jean-Philippe ; Ciliberti, Stefano . In: Papers. RePEc:arx:papers:1807.11751.

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2018A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach. (2018). Santos, T R. In: Papers. RePEc:arx:papers:1809.01489.

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2018Dependence of Structural Breaks in Rating Transition Dynamics on Economic and Market Variations. (2018). Xing, Haipeng ; Chen, Ying. In: Review of Economics & Finance. RePEc:bap:journl:180101.

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2018Measuring Retail Trade Using Card Transactional Data. (2018). García López, Juan ; Bodas, Diego ; Valero, Heribert ; Ulloa, Camilo ; Ruiz, Pep ; de Dios, Juan ; Rodrigo, Tomasa ; Pacce, Matias ; Murillo, Juan ; Garcia, Juan Ramon . In: Working Papers. RePEc:bbv:wpaper:1803.

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2018State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14.

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2017Systemic Financial Sector and Sovereign Risks. (2017). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp109.

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2017Real and financial cycles: estimates using unobserved component models for the Italian economy. (2017). Silvestrini, Andrea ; Delle Monache, Davide ; Burlon, Lorenzo ; Bulligan, Guido. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_382_17.

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2017Using the payment system data to forecast the Italian GDP. (2017). Monteforte, Libero ; Ardizzi, Guerino ; Aprigliano, Valentina . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1098_17.

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2018Short term forecasts of economic activity: are fortnightly factors useful?. (2018). Monteforte, Libero ; Raponi, Valentina . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1177_18.

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2018Systemic Risk and Financial Fragility in the Chinese Economy: A Dynamic Factor Model Approach. (2018). Vasilenko, Alexey. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps30.

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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2017A space–time multivariate Bayesian model to analyse road traffic accidents by severity. (2017). Boulieri, Areti ; Blangiardo, Marta ; Hoogh, Kees ; Liverani, Silvia . In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:180:y:2017:i:1:p:119-139.

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2017Seasonal changes in central England temperatures. (2017). Proietti, Tommaso ; Hillebrand, Eric . In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:180:y:2017:i:3:p:769-791.

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2017An introduction to applications of wavelet benchmarking with seasonal adjustment. (2017). Sayal, Homesh ; Ombao, Hernando ; Elliott, Duncan ; John , . In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:180:y:2017:i:3:p:863-889.

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2017Multilevel hierarchical Bayesian versus state space approach in time series small area estimation: the Dutch Travel Survey. (2017). Palm, Franz ; Boonstra, Harm Jan ; Brakel, Jan ; Bollineni-Balabay, Oksana . In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:180:y:2017:i:4:p:1281-1308.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Sun, Tao ; MacMinn, Richard D ; Chen, Hua ; Morales, Marco. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:393-415.

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2017Volatility Modeling with a Generalized t Distribution. (2017). Rao, Tata Subba ; Lange, Rutger-Jan ; Harvey, Andrew ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:175-190.

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2018Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica. In: Working Papers. RePEc:bny:wpaper:0060.

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2018Predicting the Volatility of Cryptocurrency Time–Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: Working Papers. RePEc:bny:wpaper:0061.

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2018Forecasting Cryptocurrencies Financial Time Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: Working Papers. RePEc:bny:wpaper:0063.

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2018Business cycle narratives. (2018). Thorsrud, Leif ; Larsen, Vegard. In: Working Papers. RePEc:bny:wpaper:0064.

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2018Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:953.

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2018Mortgages: estimating default correlation and forecasting default risk. (2018). Neumann, Tobias . In: Bank of England working papers. RePEc:boe:boeewp:0708.

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2018Testing the systemic risk differences in banks. (2018). Jokivuolle, Esa ; Vioto, Davide ; Tunaru, Radu. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_013.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2017Computing with bivariate COM-Poisson model under different copulas. (2017). Naushad, Mamode Khan ; Vandna, Jowaheer ; Yuvraj, Sunecher ; Wasseem, Rumjaun . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:23:y:2017:i:2:p:131-146:n:1.

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2017Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models. (2017). Peter, Reusens ; Christophe, Croux. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:4:p:18:n:1.

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2018A Stochastic Latent Moment Model for Electricity Price Formation. (2018). Gianfreda, Angelica ; Bunn, Derek. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps46.

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2017Co-integration and control: assessing the impact of events using time series data. (2017). Harvey, A ; Thiele, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1731.

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2017Is Market Fear Persistent? A Long-Memory Analysis. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6534.

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2017Decomposition of the Czech government bond yield curve. (2017). Kucera, Adam ; Komarkova, Zlatuse ; Dvorak, Michal. In: Occasional Publications - Chapters in Edited Volumes. RePEc:cnb:ocpubc:fsr1617/3.

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2017Longer-term Yield Decomposition: An Analysis of the Czech Government Yield Curve. (2017). Komarkova, Zlatuse ; Komarek, Lubos ; Dvorak, Michal ; Kucera, Adam. In: Working Papers. RePEc:cnb:wpaper:2017/12.

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2017Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:6117.

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2017Accurate Subsampling Intervals of Principal Components Factors. (2017). Ruiz, Esther ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23974.

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2017Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas. (2017). san Miguel, Pedro Galeano ; Nguyen, Hoang ; Ausin, Maria Concepcion. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24552.

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2017Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence. (2017). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez, Carlos Vladimir ; Ergemen, Yunus Emre . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24614.

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2018Brexit and Uncertainty in Financial Markets. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trani, Tommaso. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1719.

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2017Introducing global term structure in a risk parity framework. (2017). Stagnol, Lauren. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-23.

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2017Extreme Risk Value and Dependence Structure of the China Securities Index 300. (2017). CHONG, Terence Tai Leung ; Pang, Tianxiao ; Ding, Yue. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00292.

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2017The relationship between Output Uncertainty and Economic Growth-Evidence from India. (2017). Ramachandran, M ; Durai, Raja Sethu ; Sethudurai, Raja ; Bathmanaban, Balaji. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00543.

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2017Predicting Advertising Volumes Using Structural Time Series Models: A Case Study. (2017). Dewenter, Ralf ; Heimeshoff, Ulrich. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00140.

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2017Improved two-component tests in Beta-Skew-t-EGARCH models. (2017). Mller, Fernanda Maria ; Bayer, Fbio M. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00319.

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2017Mutual Point-winning Probabilities (MPW): a New Performance Measure for Table Tennis. (2017). Ley, Christophe ; Dominicy, Yves. In: Working Papers ECARES. RePEc:eca:wpaper:2013/250695.

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2018Real and financial cycles in EU countries - Stylised facts and modelling implications. (2018). Rots, Eyno ; Perez Quiros, Gabriel ; Mandler, Martin ; Lozej, Matija ; Lequien, Matthieu ; Jaccard, Ivan ; Iskrev, Nikolay ; Guarda, Paolo ; Comunale, Mariarosaria ; Burlon, Lorenzo ; Buss, Ginters ; Balfoussia, Hiona ; Kunovac, Davor ; Kulikov, Dmitry ; Welz, Peter ; Scharnagl, Michael ; Hindrayanto, Irma ; Rannenberg, Ansgar ; Haavio, Markus ; Perez-Quiros, Gabriel ; Pedersen, Jesper ; Dewachter, Hans ; Papageorgiou, Dimitris ; de Backer, Bruno ; Runstler, Gerhard ; Lenarcic, Crt. In: Occasional Paper Series. RePEc:ecb:ecbops:2018205.

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A structural model to study the bail-out process in a bank and its macro-prudential policy implications. (2017). Correia, Ricardo ; Poblacion, Francisco Javier ; Dubiel-Teleszynski, Tomasz Piotr. In: Working Paper Series. RePEc:ecb:ecbwps:20172110.

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2018Detrending and financial cycle facts across G7 countries: mind a spurious medium term!. (2018). Schüler, Yves ; Schuler, Yves S. In: Working Paper Series. RePEc:ecb:ecbwps:20182138.

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2018Euro area real-time density forecasting with financial or labor market frictions. (2018). McAdam, Peter ; Warne, Anders . In: Working Paper Series. RePEc:ecb:ecbwps:20182140.

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2017Measuring real business condition in China. (2017). Hueng, C. ; Liu, Ping. In: China Economic Review. RePEc:eee:chieco:v:46:y:2017:i:c:p:261-274.

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2018Extended dynamic generalized linear models: The two-parameter exponential family. (2018). Souza, M. A. O., ; Pereira, J. B. M., ; Migon, H S. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:121:y:2018:i:c:p:164-179.

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2018Model selection for time series of count data. (2018). Alzahrani, Naif ; Touloupou, Panayiota ; McKinley, Trevelyan J ; Simon, ; Neal, Peter. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:122:y:2018:i:c:p:33-44.

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2018Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. (2018). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Ertur, Cem. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:87:y:2018:i:c:p:21-45.

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2017How are Africas emerging stock markets related to advanced markets? Evidence from copulas. (2017). ALAGIDEDE, PAUL ; Mensah, Jones Odei. In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:1-10.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2017Can energy commodity futures add to the value of carbon assets?. (2017). Roubaud, David ; Bouri, Elie ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:194-206.

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2017Forecasting the oil futures price volatility: A new approach. (2017). Ma, Feng ; Chen, Wang ; Huang, Dengshi ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:560-566.

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2017A dynamic Nelson-Siegel yield curve model with Markov switching. (2017). Levant, Jared ; Ma, Jun. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:73-87.

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2018A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction. (2018). Bao, Te ; Li, Hao ; Diks, Cees. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:611-621.

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2018Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets. (2018). Tsutsui, Yoshiro ; Hirayama, Kenjiro ; Nishimura, Yusaku . In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:237-248.

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2018Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals. (2018). Omura, Akihiro ; Todorova, Neda ; Chung, Richard ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:496-510.

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2018Forecasting gold futures market volatility using macroeconomic variables in the United States. (2018). Fang, Libing ; Xiao, Wen ; Yu, Honghai. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:249-259.

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2018The effects of financial distress: Evidence from US GDP growth. (2018). Inekwe, John ; Rebecca, MA ; Jin, YI. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:8-21.

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2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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2018Predicting failure risk using financial ratios: Quantile hazard model approach. (2018). Chen, Cathy W. S. ; Tian, Shaonan ; Dong, Manh Cuong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:204-220.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2018A simple test on structural change in long-memory time series. (2018). Wenger, Kai ; Sibbertsen, Philipp ; Leschinski, Christian. In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:90-94.

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2018A note on low-dimensional Kalman smoothers for systems with lagged states in the measurement equation. (2018). Kurz, Malte S. In: Economics Letters. RePEc:eee:ecolet:v:168:y:2018:i:c:p:42-45.

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2018Forecasting the yield curve using a dynamic natural cubic spline model. (2018). Feng, Pan ; Qian, Junhui. In: Economics Letters. RePEc:eee:ecolet:v:168:y:2018:i:c:p:73-76.

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2017A new approach to model regime switching. (2017). Chang, Yoosoon ; Park, Joon Y ; Choi, Yongok . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:127-143.

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2017Data revisions and DSGE models. (2017). Galvão, Ana ; Galvo, Ana Beatriz. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:215-232.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Xiu, Dacheng ; Shephard, Neil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

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2017Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows. (2017). Le Fol, Gaelle ; darolles, serge ; Mero, Gulten. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:367-383.

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2018Filtered likelihood for point processes. (2018). Giesecke, Kay ; Schwenkler, Gustavo. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:33-53.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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2018A spectral EM algorithm for dynamic factor models. (2018). Sentana, Enrique ; Galesi, Alessandro ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:249-279.

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2018Estimating stable latent factor models by indirect inference. (2018). Calzolari, Giorgio ; Halbleib, Roxana . In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:280-301.

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2017Cholesky realized stochastic volatility model. (2017). Shirota, Shinichiro ; Piao, Haixiang ; Lopes, Hedibert F ; Omori, Yasuhiro. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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2018A data-cleaning augmented Kalman filter for robust estimation of state space models. (2018). Proietti, Tommaso ; Marczak, Martyna ; Grassi, Stefano. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:107-123.

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2018Semiparametric estimation under shape constraints. (2018). Wu, Ximing ; Sickles, Robin . In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:74-89.

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2017Fuzzy decision fusion approach for loss-given-default modeling. (2017). Nazemi, Abdolreza ; Fabozzi, Frank J ; Heidenreich, Konstantin ; Pour, Farnoosh Fatemi . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:2:p:780-791.

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More than 100 citations found, this list is not complete...

Siem Jan Koopman has edited the books:

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Works by Siem Jan Koopman:

YearTitleTypeCited
2007Long memory modelling of inflation with stochastic variance and structural breaks In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2007Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks.(2007) In: Tinbergen Institute Discussion Papers.
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2009Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers.
[Full Text][Citation analysis]		paper2
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models *.(2016) In: Working Papers.
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2007Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article97
2005Periodic 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: 97		paper
1992Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article110
1997The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article28
2004State Space Models With a Common Stochastic Variance In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article9
2006Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article35
2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article30
2008A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article18
2005A 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: 18		paper
2005A 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: 18		paper
2010Analyzing 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]		article38
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article62
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
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2010A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2010) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 62		paper
2010Common business and housing market cycles in the Euro area from a multivariate decomposition. In: Working papers.
[Full Text][Citation analysis]		paper9
2008Model-based measurement of latent risk in time series with applications In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article2
2005Model-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
2015A 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]		article5
2012A 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: 5		paper
2000Time 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]		article64
1998Time 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: 64		paper
2009Seasonality with trend and cycle interactions in unobserved components models In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]		article5
2008Seasonality with Trend and Cycle Interactions in Unobserved Components Models.(2008) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 5		paper
2010Multivariate 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]		article3
2003Filtering and smoothing of state vector for diffuse state-space models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article20
2010Likelihood functions for state space models with diffuse initial conditions In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article9
2008Likelihood Functions for State Space Models with Diffuse Initial Conditions.(2008) In: Tinbergen Institute Discussion Papers.
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2017Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article10
2014Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 10		paper
2002 Constructing Seasonally Adjusted Data with Time-Varying Confidence Intervals. In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article3
2001Constructing 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: 3		paper
2008Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article26
2009Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article3
2006Periodic 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: 3		paper
2002Discussion of MCMC-based inference by R. Paap In: Statistica Neerlandica.
[Full Text][Citation analysis]		article0
2003Time Series Modelling of Daily Tax Revenues In: Statistica Neerlandica.
[Full Text][Citation analysis]		article5
1999Time-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: 5		paper
2001Time Series Modelling of Daily Tax Revenues.(2001) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 5		paper
2008Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model In: Statistica Neerlandica.
[Full Text][Citation analysis]		article0
2007Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model.(2007) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 0		paper
2004Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article8
1992Exact 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]		paper4
1995The 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]		paper0
1996Multivariate 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]		paper3
1997Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.) In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper0
2014Nowcasting and forecasting economic growth in the euro area using principal components In: DNB Working Papers.
[Full Text][Citation analysis]		paper0
2014Nowcasting 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
2016Measuring 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]		paper9
2017Modeling the business and financial cycle in a multivariate structural time series model In: DNB Working Papers.
[Full Text][Citation analysis]		paper0
2011Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series.
[Full Text][Citation analysis]		paper23
2012Dynamic 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]		paper23
2012Dynamic 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: 23		article
2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
[Full Text][Citation analysis]		paper24
2011Observation 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: 24		paper
2014Observation-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: 24		article
2016The information in systemic risk rankings In: Working Paper Series.
[Full Text][Citation analysis]		paper7
2015The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2016The information in systemic risk rankings.(2016) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		article
2016Global credit risk: world country and industry factors In: Working Paper Series.
[Full Text][Citation analysis]		paper6
2015Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2017Global Credit Risk: World, Country and Industry Factors.(2017) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2004Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper20
2003Periodic 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
2000Computing Observation Weights for Signal Extraction and Filtering In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper40
2003Computing observation weights for signal extraction and filtering.(2003) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 40		article
1999Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal.
[Citation analysis]		article161
1998Statistical 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: 161		paper
2000Signal extraction and the formulation of unobserved components models In: Econometrics Journal.
[Citation analysis]		article44
1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44		paper
2006Forecasting daily time series using periodic unobserved components time series models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article7
2004Forecasting 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: 7		paper
2006Special Issue on Nonlinear Modelling and Financial Econometrics In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article2
2010Exact maximum likelihood estimation for non-stationary periodic time series models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article5
2012Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article4
2014Long memory with stochastic variance model: A recursive analysis for US inflation In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article6
2011Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article28
2011Maximum likelihood estimation for dynamic factor models with missing data.(2011) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		paper
2016Intervention time series analysis of crime rates: The case of sentence reform in Virginia In: Economic Modelling.
[Full Text][Citation analysis]		article2
2016Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area In: Economics Letters.
[Full Text][Citation analysis]		article4
2016Measuring 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: 4		paper
2008The multi-state latent factor intensity model for credit rating transitions In: Journal of Econometrics.
[Full Text][Citation analysis]		article37
2005The 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: 37		paper
2009Testing the assumptions behind importance sampling In: Journal of Econometrics.
[Full Text][Citation analysis]		article14
2011Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics.
[Full Text][Citation analysis]		article37
2014Generalized dynamic panel data models with random effects for cross-section and time In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2014Generalized 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: 3		paper
2016Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
2014Spillover 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: 15		paper
2014Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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1997Detecting shocks: Outliers and breaks in time series In: Journal of Econometrics.
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1998Estimation of stochastic volatility models via Monte Carlo maximum likelihood In: Journal of Econometrics.
[Full Text][Citation analysis]		article96
2005Forecasting 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]		article160
2004Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements.(2004) In: Computing in Economics and Finance 2004.
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This paper has another version. Agregated cites: 160		paper
2004Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements.(2004) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 160		paper
2009Credit cycles and macro fundamentals In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article40
2006Credit Cycles and Macro Fundamentals.(2006) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 40		paper
2006Credit cycles and macro fundamentals.(2006) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 40		paper
2014Long memory dynamics for multivariate dependence under heavy tails In: Journal of Empirical Finance.
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2011Long Memory Dynamics for Multivariate Dependence under Heavy Tails.(2011) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 13		paper
2008An hourly periodic state space model for modelling French national electricity load In: International Journal of Forecasting.
[Full Text][Citation analysis]		article31
2008An Hourly Periodic State Space Model for Modelling French National Electricity Load.(2008) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 31		paper
2010Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments In: International Journal of Forecasting.
[Full Text][Citation analysis]		article0
2013Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model In: International Journal of Forecasting.
[Full Text][Citation analysis]		article7
2011Forecasting 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: 7		paper
2014Forecasting macroeconomic variables using collapsed dynamic factor analysis In: International Journal of Forecasting.
[Full Text][Citation analysis]		article13
2012Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis.(2012) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2014Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting.
[Full Text][Citation analysis]		article4
2016In-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]		article3
2015In-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: 3		paper
2016Forecasting and nowcasting economic growth in the euro area using factor models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article1
2005Empirical credit cycles and capital buffer formation In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article31
2016The dynamic factor network model with an application to global credit risk In: Working Papers.
[Full Text][Citation analysis]		paper1
2016The Dynamic Factor Network Model with an Application to Global Credit-Risk.(2016) In: Tinbergen Institute Discussion Papers.
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1996Maximum Likelihood Estimation of Stochastic Volatility Models In: FMG Discussion Papers.
[Full Text][Citation analysis]		paper5
2009A General Framework for Observation Driven Time-Varying Parameter Models In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]		paper16
2008A General Framework for Observation Driven Time-Varying Parameter Models.(2008) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 16		paper
2002The stochastic volatility in mean model: empirical evidence from international stock markets In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article53
2004Convergence in European GDP series: a multivariate common converging trend-cycle decomposition In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article29
2005Business and default cycles for credit risk In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article58
2003Business and Default Cycles for Credit Risk.(2003) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 58		paper
2010Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article2
2008Extracting 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: 2		paper
2012Economic 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]		article0
2006A non-Gaussian generalization of the Airline model for robust seasonal adjustment In: Journal of Forecasting.
[Full Text][Citation analysis]		article1
2011Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra In: Journal of Forecasting.
[Full Text][Citation analysis]		article1
2011Statistical Software for State Space Methods In: Journal of Statistical Software.
[Full Text][Citation analysis]		article14
2012Regime switches in the volatility and correlation of financial institutions In: Working Paper Research.
[Full Text][Citation analysis]		paper3
2017Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting In: NBP Working Papers.
[Full Text][Citation analysis]		paper0
2002Testing the Assumptions Behind the Use of Importance Sampling In: Economics Papers.
[Full Text][Citation analysis]		paper6
2015Information-theoretic optimality of observation-driven time series models for continuous responses In: Biometrika.
[Full Text][Citation analysis]		article17
2007Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models In: Biometrika.
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2012Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing In: Journal of Financial Econometrics.
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2009Spot Variance Path Estimation and its Application to High Frequency Jump Testing.(2009) In: Tinbergen Institute Discussion Papers.
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2012The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures In: Journal of Financial Econometrics.
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2011The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures.(2011) In: Tinbergen Institute Discussion Papers.
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2017Testing for Parameter Instability across Different Modeling Frameworks In: Journal of Financial Econometrics.
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2018Bayesian Dynamic Modeling of High-Frequency Integer Price Changes In: Journal of Financial Econometrics.
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2001Time Series Analysis by State Space Methods In: OUP Catalogue.
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2012Time Series Analysis by State Space Methods.(2012) In: OUP Catalogue.
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2007An Introduction to State Space Time Series Analysis In: OUP Catalogue.
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2003Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area In: Working Papers.
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2003Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area.(2003) In: Tinbergen Institute Discussion Papers.
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2001An efficient and simple simulation smoother for state space time series analysis In: Computing in Economics and Finance 2001.
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1999Fast Estimation of Parameters in State Space Models In: Computing in Economics and Finance 1999.
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2001Interaction between structural and cyclical shocks in production and employment In: Review of World Economics (Weltwirtschaftliches Archiv).
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2013Modelling trigonometric seasonal components for monthly economic time series In: Applied Economics.
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2010Modeling Trigonometric Seasonal Components for Monthly Economic Time Series.(2010) In: Tinbergen Institute Discussion Papers.
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2006Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models In: Econometric Reviews.
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2016Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models In: Econometric Reviews.
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2011Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models.(2011) In: Tinbergen Institute Discussion Papers.
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2017Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model In: Journal of the American Statistical Association.
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2015Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models In: Journal of Business & Economic Statistics.
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2012Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models.(2012) In: Tinbergen Institute Discussion Papers.
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1997Interaction between Supply and Demand Shocks in Production and Employment In: Tinbergen Institute Discussion Papers.
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2000The Stochastic Volatility in Mean Model In: Tinbergen Institute Discussion Papers.
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2000Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility In: Tinbergen Institute Discussion Papers.
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2002Stock Index Volatility Forecasting with High Frequency Data In: Tinbergen Institute Discussion Papers.
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2002Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation In: Tinbergen Institute Discussion Papers.
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2002Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series In: Tinbergen Institute Discussion Papers.
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2003Convergence in European GDP Series In: Tinbergen Institute Discussion Papers.
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2003Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence In: Tinbergen Institute Discussion Papers.
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2003Intervention Time Series Analysis of Crime Rates In: Tinbergen Institute Discussion Papers.
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2003Measuring Synchronisation and Convergence of Business Cycles In: Tinbergen Institute Discussion Papers.
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2005Model-based Measurement of Actual Volatility in High-Frequency Data In: Tinbergen Institute Discussion Papers.
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2005Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series In: Tinbergen Institute Discussion Papers.
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2005On Importance Sampling for State Space Models In: Tinbergen Institute Discussion Papers.
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2006Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series In: Tinbergen Institute Discussion Papers.
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2007Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters In: Tinbergen Institute Discussion Papers.
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2014Likelihood-based Analysis for Dynamic Factor Models In: Tinbergen Institute Discussion Papers.
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2008Forecasting Cross-Sections of Frailty-Correlated Default In: Tinbergen Institute Discussion Papers.
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2008The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model In: Tinbergen Institute Discussion Papers.
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2008Spline Smoothing over Difficult Regions In: Tinbergen Institute Discussion Papers.
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2011Dynamic Factor Analysis in The Presence of Missing Data In: Tinbergen Institute Discussion Papers.
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2010Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates In: Tinbergen Institute Discussion Papers.
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2010Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective In: Tinbergen Institute Discussion Papers.
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2010Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production In: Tinbergen Institute Discussion Papers.
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2010Systemic Risk Diagnostics In: Tinbergen Institute Discussion Papers.
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2011Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails In: Tinbergen Institute Discussion Papers.
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2012Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia In: Tinbergen Institute Discussion Papers.
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2014Fast Efficient Importance Sampling by State Space Methods In: Tinbergen Institute Discussion Papers.
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2012Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models In: Tinbergen Institute Discussion Papers.
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2016Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models.(2016) In: The Review of Economics and Statistics.
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2014Forecasting interest rates with shifting endpoints.(2014) In: Journal of Applied Econometrics.
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2012A Forty Year Assessment of Forecasting the Boat Race In: Tinbergen Institute Discussion Papers.
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2016Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models In: Tinbergen Institute Discussion Papers.
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2015Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model In: Tinbergen Institute Discussion Papers.
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2018Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction In: Tinbergen Institute Discussion Papers.
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