Siem Jan Koopman : Citation Profile


Are you Siem Jan Koopman?

Vrije Universiteit Amsterdam (90% share)
Tinbergen Instituut (10% share)

29

H index

64

i10 index

3698

Citations

RESEARCH PRODUCTION:

93

Articles

139

Papers

3

Books

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   27 years (1992 - 2019). See details.
   Cites by year: 136
   Journals where Siem Jan Koopman has often published
   Relations with other researchers
   Recent citing documents: 678.    Total self citations: 161 (4.17 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pko46
   Updated: 2020-08-09    RAS profile: 2019-08-04    
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Relations with other researchers


Works with:

Lucas, Andre (37)

Blasques, Francisco (23)

Schwaab, Bernd (9)

Mesters, Geert (6)

Wintenberger, Olivier (4)

de Winter, Jasper (4)

Creal, Drew (4)

Łasak, Katarzyna (3)

Bräuning, Falk (3)

Schaumburg, Julia (3)

Nucera, Federico (3)

Galati, Gabriele (3)

Ooms, Marius (2)

Vujić, Sunčica (2)

Li, Mengheng (2)

Hansen, Peter (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 (134)

Proietti, Tommaso (101)

Harvey, Andrew (80)

McAleer, Michael (57)

Asai, Manabu (56)

Shephard, Neil (46)

Zhang, Xin (46)

Schwaab, Bernd (46)

Delle Monache, Davide (43)

Petrella, Ivan (42)

Ruiz, Esther (40)

Cites to:

Lucas, Andre (156)

Shephard, Neil (113)

Bollerslev, Tim (90)

Harvey, Andrew (88)

Reichlin, Lucrezia (74)

Creal, Drew (72)

Engle, Robert (68)

Diebold, Francis (65)

Watson, Mark (64)

Giannone, Domenico (49)

Blasques, Francisco (36)

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 Forecasting8
Journal of Applied Econometrics7
Journal of Financial Econometrics5
Computational Statistics & Data Analysis5
Statistica Neerlandica4
Journal of Empirical Finance4
Journal of Time Series Analysis4
Journal of Applied Econometrics4
Oxford Bulletin of Economics and Statistics3
The Review of Economics and Statistics3
Journal of Business & Economic Statistics3
Biometrika3
Econometrics Journal2
Journal of Forecasting2
Journal of the Royal Statistical Society Series C2
Econometric Reviews2
Journal of the Royal Statistical Society Series A2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute97
Working Paper Series / European Central Bank5
Computing in Economics and Finance 1999 / Society for Computational Economics2

Recent works citing Siem Jan Koopman (2019 and 2018)


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

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2018State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering. (2018). Yang, Yukai ; Bauwens, Luc. In: CREATES Research Papers. RePEc:aah:create:2018-30.

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2018A mixed-frequency Bayesian vector autoregression with a steady-state prior. (2018). Yang, Yukai ; Ankargren, Sebastian ; Unosson, Mns. In: CREATES Research Papers. RePEc:aah:create:2018-32.

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2019Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors. (2019). Hillebrand, Eric ; Koopman, Siem Jan ; Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2019-21.

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2019Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings. (2019). Pea, Daniel ; Rodriguez-Caballero, Carlos Vladimir ; Catao, Duvan Humberto. In: CREATES Research Papers. RePEc:aah:create:2019-23.

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2019Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:07-19.

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2019Measuring Success: Does Predictive Ability of an Asset Price Rest in Memory? Insights from a New Approach. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:11-19.

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2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: AMSE Working Papers. RePEc:aim:wpaimx:1932.

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2018Measuring the Natural Rates of Interest in Germany and Italy. (2018). Bystrov, Victor ; Victor, Bystrov. In: Lodz Economics Working Papers. RePEc:ann:wpaper:7/2018.

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2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia. (2018). Liao, Yuan ; Fan, Jianqing ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

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2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2019A Justification of Conditional Confidence Intervals. (2019). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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2019A nonparametric copula approach to conditional Value-at-Risk. (2019). Dunn, Richard ; Geenens, Gery. In: Papers. RePEc:arx:papers:1712.05527.

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2019Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Rossini, Luca ; Ravazzolo, Francesco ; 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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2019A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2019). Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo ; Buccheri, Giuseppe . 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). Chen, Qian ; Gerlach, Richard ; Wang, Chao. 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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2019Transmission of Macroeconomic Shocks to Risk Parameters: Their uses in Stress Testing. (2019). Dias, David ; Rojas, Helder. In: Papers. RePEc:arx:papers:1809.07401.

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2020Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations. (2018). Smith, Greig ; Reis, Goncalo Dos ; Pfeuffer, Marius. In: Papers. RePEc:arx:papers:1809.09889.

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2019Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2019). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:1809.09928.

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2018A new time-varying model for forecasting long-memory series. (2018). Grigoletto, Matteo ; Bisaglia, Luisa. In: Papers. RePEc:arx:papers:1812.07295.

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2020Zero-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.

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2020Approximate State Space Modelling of Unobserved Fractional Components. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2019Dynamic tail inference with log-Laplace volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419.

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2019Volatility Models Applied to Geophysics and High Frequency Financial Market Data. (2019). Florescu, Ionut ; Gonzalez-Huizar, Hector ; Tweneboah, Osei K ; al Masum, MD ; Mariani, Maria C. In: Papers. RePEc:arx:papers:1901.09145.

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2019Development of an agent-based speculation game for higher reproducibility of financial stylized facts. (2019). Okuda, Hiroshi ; Hashimoto, Gaku ; Chen, YU ; Katahira, Kei. In: Papers. RePEc:arx:papers:1902.02040.

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2019Bayesian nonparametric graphical models for time-varying parameters VAR. (2019). Rossini, Luca ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:1906.02140.

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2019Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961.

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2019Forecasting securitys volatility using low-frequency historical data, high-frequency historical data and option-implied volatility. (2019). Cui, Xiangyu ; Zhang, Zhiyuan ; Zhou, Yong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:1907.02666.

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2019Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569.

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2019Measuring international uncertainty using global vector autoregressions with drifting parameters. (2019). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:1908.06325.

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2020A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics. (2019). Lillo, Fabrizio ; Bormetti, Giacomo ; Vassallo, Danilo. In: Papers. RePEc:arx:papers:1910.01407.

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2019Quasi 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.

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2020Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data. (2019). Bai, Jushan ; Ng, Serena. In: Papers. RePEc:arx:papers:1910.06677.

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2019Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273.

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2019A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior. (2019). Ankargren, Sebastian ; Yang, Yukai ; Unosson, Maans. In: Papers. RePEc:arx:papers:1911.09151.

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2019Estimating Large Mixed-Frequency Bayesian VAR Models. (2019). Ankargren, Sebastian ; Jon, Paulina. In: Papers. RePEc:arx:papers:1912.02231.

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2020Econometric issues with Laubach and Williams estimates of the natural rate of interest. (2020). Buncic, Daniel. In: Papers. RePEc:arx:papers:2002.11583.

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2020A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving. (2020). Wong, Bernard ; Vu, Phuong Anh ; Taylor, Gregory Clive ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2004.06880.

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2020Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation. (2020). van Beek, Misha. In: Papers. RePEc:arx:papers:2004.09042.

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2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674.

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2020Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2020Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

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2020Macroeconomic Forecasting with Fractional Factor Models. (2020). Hartl, Tobias. In: Papers. RePEc:arx:papers:2005.04897.

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2020Dynamic shrinkage in time-varying parameter stochastic volatility in mean models. (2020). Pfarrhofer, Michael ; Huber, Florian. In: Papers. RePEc:arx:papers:2005.06851.

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2020Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession. (2020). Diebold, Francis X. In: Papers. RePEc:arx:papers:2006.15183.

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2020Bridging 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.

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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106.

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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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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283.

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2018Measuring Retail Trade Using Card Transactional Data. (2018). Pacce, Matías ; García López, Juan ; Valero, Heribert ; Ulloa, Camilo ; Ruiz, Pep ; de Dios, Juan ; Rodrigo, Tomasa ; Murillo, Juan ; Garcia, Juan Ramon ; Bodas, Diego. 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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2019Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16.

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2018Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches. (2018). Lee-Poy, Andrew. In: Staff Analytical Notes. RePEc:bca:bocsan:18-34.

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2019Measuring credit-to-gdp gaps. The hodrick-prescott filter revisited. (2019). Galan, Jorge. In: Occasional Papers. RePEc:bde:opaper:1906.

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2018Empirical assessment of alternative structural methods for identifying cyclical systemic risk in Europe. (2018). Mencia, Javier ; Galan, Jorge. In: Working Papers. RePEc:bde:wpaper:1825.

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2019Fluctuations in Global Macro Volatility. (2019). Leiva-Leon, Danilo ; Ductor, Lorenzo. In: Working Papers. RePEc:bde:wpaper:1925.

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2019Beyond the LTV ratio: new macroprudential lessons from Spain. (2019). Lamas, Matias ; Galan, Jorge E. In: Working Papers. RePEc:bde:wpaper:1931.

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2018A Survey of Systemic Risk Indicators. (2018). Rogantini Picco, Anna ; Di Cesare, Antonio. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_458_18.

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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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2019News and consumer card payments. (2019). Monteforte, Libero ; Marcucci, Juri ; Emiliozzi, Simone ; Ardizzi, Guerino. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1233_19.

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2019¿Cómo y qué tanto impacta la deuda pública a las tasas de interés de mercado?. (2019). Rincon-Castro, Hernan ; Ardila-Dueas, Carlos David. In: Borradores de Economia. RePEc:bdr:borrec:1077.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: BIS Working Papers. RePEc:bis:biswps:766.

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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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2019What measures of real economic activity slack are helpful for forecasting Russian inflation?. (2019). Khabibullin, Ramis. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps50.

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2018Quantifying Impacts of Macroeconomic and Non†economic Factors on Public Health Expenditure: A Structural Time Series Model. (2018). Dauda, Risikat ; Tajudeen, Ibrahim A. In: African Development Review. RePEc:bla:afrdev:v:30:y:2018:i:2:p:200-218.

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2018DOES THE GREAT RECESSION IMPLY THE END OF THE GREAT MODERATION? INTERNATIONAL EVIDENCE. (2018). Darné, Olivier ; Charles, Amlie ; Ferrara, Laurent ; Darne, Olivier. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:745-760.

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2018DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS. (2018). Prigent, Jean-Luc ; Karaa, Adel ; ben Ayed, Myriam. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:3:p:1870-1886.

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2018A Rotated Dynamic Nelson†Siegel Model. (2018). Nyholm, Ken. In: Economic Notes. RePEc:bla:ecnote:v:47:y:2018:i:1:p:113-124.

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2020Measuring Discontinuities in Time Series Obtained with Repeated Sample Surveys. (2020). Tam, Siuming ; Zhang, Xichuan ; van den Brakel, Jan. In: International Statistical Review. RePEc:bla:istatr:v:88:y:2020:i:1:p:155-175.

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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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2020Temporal disaggregation of overlapping noisy quarterly data: estimation of monthly output from UK value‐added tax data. (2020). Weale, Martin ; Labonne, Paul. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:1211-1230.

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2020Estimating the probability of default for no‐default and low‐default portfolios. (2020). Blumke, Oliver. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:1:p:89-107.

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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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2018Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919.

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2020Measuring 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.

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2019Has the 2008 financial crisis and its aftermath changed the impact of inflation on inflation uncertainty in member states of the european monetary union?. (2019). Nonejad, Nima. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:66:y:2019:i:2:p:246-276.

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2018Forecasting aggregate claims using score‐driven time series models. (2018). Arozo, Mariana ; Eduardo, . In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:3:p:354-374.

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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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2018State Space Models with Endogenous Regime Switching. (2018). Tan, Fei ; Maih, Junior ; Chang, Yoosoon. In: Working Papers. RePEc:bny:wpaper:0067.

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2018International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach. (2018). Cross, Jamie ; Poon, Aubrey ; Hou, Chenghan. In: Working Papers. RePEc:bny:wpaper:0070.

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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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2019The direction and intensity of China’s monetary policy conduct : A dynamic factor modelling approach. (2019). Tsang, Andrew ; Funke, Michael. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2019_008.

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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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2019Firms Inflation Expectations under Rational Inattention and Sticky Information: An Analysis with a Small-Scale Macroeconomic Model. (2019). Tanaka, Masaki ; Kitamura, Tomiyuki . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp19e16.

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2019Trend Growth Shocks and Asset Prices. (2019). Lee, Nam Gang. In: Working Papers. RePEc:bok:wpaper:1904.

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2018Forecasting in the presence of in and out of sample breaks. (2018). Perron, Pierre ; Xu, Jiawen. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-014.

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2019Bayesian statistics meets sports: a comprehensive review. (2019). Kerrie, Mengersen ; Paul, WU ; Edgar, Santos-Fernandez. In: Journal of Quantitative Analysis in Sports. RePEc:bpj:jqsprt:v:15:y:2019:i:4:p:289-312:n:5.

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2020Military expenditure and security outcome convergence in African regional economic communities: evidence from the convergence club algorithm. (2020). Shaaba, Saba Charles ; Nicholas, Ngepah. In: Peace Economics, Peace Science, and Public Policy. RePEc:bpj:pepspp:v:26:y:2020:i:1:p:28:n:4.

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2019Think again: volatility asymmetry and volatility persistence. (2019). Thomas, Dimpfl ; Dirk, Baur. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:19:n:4.

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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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2019Dynamic Tobit models. (2019). Harvey, Andrew ; Liao, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1913.

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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.
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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.
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paper8
2014SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES.(2014) In: Journal of Applied Econometrics.
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2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers.
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paper4
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.
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article112
2005Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices.(2005) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 112
paper
1992Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article130
1997The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]
article35
2004State Space Models With a Common Stochastic Variance In: Journal of Business & Economic Statistics.
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article10
2006Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter In: Journal of Business & Economic Statistics.
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article42
2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
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article35
2008A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics.
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article21
2005A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: DNB Working Papers.
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paper
2005A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: Tinbergen Institute Discussion Papers.
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paper
2010Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters In: Journal of Business & Economic Statistics.
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article48
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics.
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article87
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2011) In: Journal of Business & Economic Statistics.
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article
2010A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2010) In: Tinbergen Institute Discussion Papers.
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paper
2010Common business and housing market cycles in the Euro area from a multivariate decomposition. In: Working papers.
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paper10
2008Model‐based measurement of latent risk in time series with applications In: Journal of the Royal Statistical Society Series A.
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article2
2005Model-based Measurement of Latent Risk in Time Series with Applications.(2005) In: Tinbergen Institute Discussion Papers.
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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.
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article14
2012A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League.(2012) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 14
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.
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article73
1998Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives.(1998) In: Discussion Paper.
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paper
2009Seasonality with trend and cycle interactions in unobserved components models In: Journal of the Royal Statistical Society Series C.
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article5
2008Seasonality with Trend and Cycle Interactions in Unobserved Components Models.(2008) In: Tinbergen Institute Discussion Papers.
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paper
2010Multivariate non‐linear time series modelling of exposure and risk in road safety research In: Journal of the Royal Statistical Society Series C.
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article4
2000Fast Filtering and Smoothing for Multivariate State Space Models In: Journal of Time Series Analysis.
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article14
1998Fast Filtering and Smoothing for Multivariate State Space Models.(1998) In: Discussion Paper.
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paper
2003Filtering and smoothing of state vector for diffuse state-space models In: Journal of Time Series Analysis.
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article24
2010Likelihood functions for state space models with diffuse initial conditions In: Journal of Time Series Analysis.
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article12
2008Likelihood Functions for State Space Models with Diffuse Initial Conditions.(2008) In: Tinbergen Institute Discussion Papers.
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paper
2017Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis.
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article13
2014Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers.
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paper
2002 Constructing Seasonally Adjusted Data with Time-Varying Confidence Intervals. In: Oxford Bulletin of Economics and Statistics.
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article3
2001Constructing seasonally adjusted data with time-varying confidence intervals.(2001) In: Econometric Institute Research Papers.
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paper
2008Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* In: Oxford Bulletin of Economics and Statistics.
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article31
2009Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* In: Oxford Bulletin of Economics and Statistics.
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article3
2006Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment.(2006) In: Tinbergen Institute Discussion Papers.
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paper
2002Discussion of ‘MCMC‐based inference’ by R. Paap In: Statistica Neerlandica.
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article0
2003Time Series Modelling of Daily Tax Revenues In: Statistica Neerlandica.
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article7
1999Time-Series Modelling of Daily Tax Revenues.(1999) In: Computing in Economics and Finance 1999.
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paper
2001Time Series Modelling of Daily Tax Revenues.(2001) In: Tinbergen Institute Discussion Papers.
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2008Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model In: Statistica Neerlandica.
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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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paper
2019Modified efficient importance sampling for partially non‐Gaussian state space models In: Statistica Neerlandica.
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article1
2004Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers In: Studies in Nonlinear Dynamics & Econometrics.
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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.
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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.
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paper2
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.
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paper0
2014Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components.(2014) In: Tinbergen Institute Discussion Papers.
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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.
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paper21
2017Modeling the business and financial cycle in a multivariate structural time series model In: DNB Working Papers.
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paper5
2011Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series.
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paper27
2012Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 In: Working Paper Series.
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paper26
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.
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This paper has another version. Agregated cites: 26
article
2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
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paper39
2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 39
paper
2014Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics.
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article
2016The information in systemic risk rankings In: Working Paper Series.
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paper16
2016The information in systemic risk rankings.(2016) In: Journal of Empirical Finance.
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2015The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers.
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paper
2016Global credit risk: world country and industry factors In: Working Paper Series.
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paper10
2015Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers.
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paper
2017Global Credit Risk: World, Country and Industry Factors.(2017) In: Journal of Applied Econometrics.
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article
2004Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices In: Econometric Society 2004 Australasian Meetings.
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paper20
2003Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices.(2003) In: Tinbergen Institute Discussion Papers.
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2000Computing Observation Weights for Signal Extraction and Filtering In: Econometric Society World Congress 2000 Contributed Papers.
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paper53
2003Computing observation weights for signal extraction and filtering.(2003) In: Journal of Economic Dynamics and Control.
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article
1999Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal.
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article173
1998Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Discussion Paper.
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2000Signal extraction and the formulation of unobserved components models In: Econometrics Journal.
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article49
1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper.
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2006Forecasting daily time series using periodic unobserved components time series models In: Computational Statistics & Data Analysis.
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article9
2004Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models.(2004) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 9
paper
2006Special Issue on Nonlinear Modelling and Financial Econometrics In: Computational Statistics & Data Analysis.
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article3
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.
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article4
2014Long memory with stochastic variance model: A recursive analysis for US inflation In: Computational Statistics & Data Analysis.
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article7
2011Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control.
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article36
2011Maximum likelihood estimation for dynamic factor models with missing data.(2011) In: Post-Print.
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This paper has another version. Agregated cites: 36
paper
2016Intervention time series analysis of crime rates: The case of sentence reform in Virginia In: Economic Modelling.
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article2
2016Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area In: Economics Letters.
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article13
2016Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area.(2016) In: Tinbergen Institute Discussion Papers.
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2008The multi-state latent factor intensity model for credit rating transitions In: Journal of Econometrics.
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article44
2005The Multi-State Latent Factor Intensity Model for Credit Rating Transitions.(2005) In: Tinbergen Institute Discussion Papers.
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2009Testing the assumptions behind importance sampling In: Journal of Econometrics.
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article19
2011Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics.
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article61
2014Generalized dynamic panel data models with random effects for cross-section and time In: Journal of Econometrics.
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article4
2014Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time.(2014) In: Tinbergen Institute Discussion Papers.
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2016Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics.
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2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
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article25
2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers.
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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.
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2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements In: Journal of Empirical Finance.
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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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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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2009Credit cycles and macro fundamentals In: Journal of Empirical Finance.
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2006Credit Cycles and Macro Fundamentals.(2006) In: Tinbergen Institute Discussion Papers.
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2006Credit cycles and macro fundamentals.(2006) In: CFS Working Paper Series.
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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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2008An hourly periodic state space model for modelling French national electricity load In: International Journal of Forecasting.
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article37
2008An Hourly Periodic State Space Model for Modelling French National Electricity Load.(2008) In: Tinbergen Institute Discussion Papers.
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2010Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments In: International Journal of Forecasting.
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2013Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model In: International Journal of Forecasting.
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2011Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model.(2011) In: Tinbergen Institute Discussion Papers.
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2014Forecasting macroeconomic variables using collapsed dynamic factor analysis In: International Journal of Forecasting.
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2012Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis.(2012) In: Tinbergen Institute Discussion Papers.
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2014Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting.
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2016In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models In: International Journal of Forecasting.
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2015In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models.(2015) In: Tinbergen Institute Discussion Papers.
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2016Forecasting and nowcasting economic growth in the euro area using factor models In: International Journal of Forecasting.
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article3
2019Forecasting football match results in national league competitions using score-driven time series models In: International Journal of Forecasting.
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article3
2017Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models.(2017) In: Tinbergen Institute Discussion Papers.
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2005Empirical credit cycles and capital buffer formation In: Journal of Banking & Finance.
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2016The dynamic factor network model with an application to global credit risk In: Working Papers.
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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.
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2009A General Framework for Observation Driven Time-Varying Parameter Models In: Global COE Hi-Stat Discussion Paper Series.
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2008A General Framework for Observation Driven Time-Varying Parameter Models.(2008) In: Tinbergen Institute Discussion Papers.
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2002The stochastic volatility in mean model: empirical evidence from international stock markets In: Journal of Applied Econometrics.
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2002The stochastic volatility in mean model: empirical evidence from international stock markets.(2002) In: Journal of Applied Econometrics.
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2004Convergence in European GDP series: a multivariate common converging trend-cycle decomposition In: Journal of Applied Econometrics.
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2005Business and default cycles for credit risk In: Journal of Applied Econometrics.
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2003Business and Default Cycles for Credit Risk.(2003) In: Tinbergen Institute Discussion Papers.
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2010Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter In: Journal of Applied Econometrics.
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2008Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter.(2008) In: Working Papers.
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2012Economic Trends and Cycles in Crime: A Study for England and Wales In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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2006A non-Gaussian generalization of the Airline model for robust seasonal adjustment In: Journal of Forecasting.
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2011Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra In: Journal of Forecasting.
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2011Statistical Software for State Space Methods In: Journal of Statistical Software.
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2012Regime switches in the volatility and correlation of financial institutions In: Working Paper Research.
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2017Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting In: NBP Working Papers.
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2002Testing the Assumptions Behind the Use of Importance Sampling In: Economics Papers.
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2015Information-theoretic optimality of observation-driven time series models for continuous responses In: Biometrika.
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2018Amendments and Corrections In: Biometrika.
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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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2018Bayesian Dynamic Modeling of High-Frequency Integer Price Changes.(2018) In: Tinbergen Institute Discussion Papers.
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2019Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model In: Journal of Financial Econometrics.
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2016Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model.(2016) In: Tinbergen Institute Discussion Papers.
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2001Time Series Analysis by State Space Methods 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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2015Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model.(2015) In: Tinbergen Institute Discussion Papers.
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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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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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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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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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2011Dynamic Factor Analysis in The Presence of Missing Data In: Tinbergen Institute Discussion Papers.
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