Siem Jan Koopman : Citation Profile

Are you Siem Jan Koopman?

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

29

H index

60

i10 index

3512

Citations

RESEARCH PRODUCTION:

93

Articles

139

Papers

3

Books

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   27 years (1992 - 2019). See details.
   Cites by year: 130
   Journals where Siem Jan Koopman has often published
   Relations with other researchers
   Recent citing documents: 539.    Total self citations: 161 (4.38 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pko46
   Updated: 2020-02-16    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)

de Winter, Jasper (4)

Wintenberger, Olivier (4)

Creal, Drew (4)

Łasak, Katarzyna (3)

Schaumburg, Julia (3)

Bräuning, Falk (3)

Galati, Gabriele (3)

Nucera, Federico (3)

Hansen, Peter (2)

Li, Mengheng (2)

Ooms, Marius (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 (134)

Proietti, Tommaso (101)

Harvey, Andrew (80)

McAleer, Michael (57)

Asai, Manabu (55)

Schwaab, Bernd (46)

Zhang, Xin (46)

Shephard, Neil (46)

Ruiz, Esther (42)

Petrella, Ivan (37)

Delle Monache, Davide (37)

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
International Journal of Forecasting8
Journal of Econometrics8
Journal of Business & Economic Statistics8
Journal of Applied Econometrics7
Journal of Financial Econometrics5
Computational Statistics & Data Analysis5
Journal of Applied Econometrics4
Journal of Time Series Analysis4
Statistica Neerlandica4
Journal of Empirical Finance4
Journal of Business & Economic Statistics3
Oxford Bulletin of Economics and Statistics3
Biometrika3
The Review of Economics and Statistics3
Journal of Economic Dynamics and Control2
Journal of Forecasting2
Journal of the Royal Statistical Society Series C2
Econometric Reviews2
Journal of the Royal Statistical Society Series A2
Econometrics Journal2

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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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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2018Zero-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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2019Approximate 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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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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2019A 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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2019Matrix 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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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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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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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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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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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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2019Score-Driven Models for Realized Volatility. (2019). Harvey, Andrew ; Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1950.

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2019Modeling directional (circular) time series. (2019). Harvey, Andrew ; Thiele, S ; Hurn, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1971.

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2018Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?. (2018). Trebesch, Christoph ; Schumacher, Julian ; Chamon, Marcos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7137.

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2018Persistence in the Russian Stock Market Volatility Indices. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tripathy, Trilochan ; Maria, Caporale Guglielmo . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7243.

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2019Business Cycle Narratives. (2019). Thorsrud, Leif ; Larsen, Vegard. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7468.

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2017Normality Tests for Latent Variables. (2017). Sentana, Enrique ; Amengual, Dante ; Almuzara, Tincho. In: Working Papers. RePEc:cmf:wpaper:wp2017_1708.

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2017Normality Tests for Latent Variables. (2017). Sentana, Enrique ; Amengual, Dante ; Almuzara, Tincho. In: Working Papers. RePEc:cmf:wpaper:wp2018_1708.

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2019DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations. (2019). Yongdeng, XU ; Luc, BAUWENS. In: CORE Discussion Papers. RePEc:cor:louvco:2019025.

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2018Structural Scenario Analysis with SVARs. (2018). Petrella, Ivan ; Antolin-Diaz, Juan ; Rubio-Ramirez, Juan Francisco . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12579.

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2018ECB interventions in distressed sovereign debt markets: The case of Greek bonds. (2018). Trebesch, Christoph ; Zettelmeyer, Jeromin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12635.

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2018Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?. (2018). Chamon, Marcos ; Trebesch, Christoph ; Schumacher, Julian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13020.

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2019Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model. (2019). Venditti, Fabrizio ; Petrella, Ivan ; delle Monache, Davide. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14107.

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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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2018Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:27483.

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2018Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:27484.

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2019Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28133.

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2007Long memory modelling of inflation with stochastic variance and structural breaks In: CREATES Research Papers.
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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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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 *.(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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2005Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices.(2005) In: Tinbergen Institute Discussion Papers.
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1992Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics.
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1997The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics.
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2004State Space Models With a Common Stochastic Variance In: Journal of Business & Economic Statistics.
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2006Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter In: Journal of Business & Economic Statistics.
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2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
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2008A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics.
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2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2011) In: Journal of Business & Economic Statistics.
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2008Model‐based measurement of latent risk in time series with applications In: Journal of the Royal Statistical Society Series A.
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2005Model-based Measurement of Latent Risk in Time Series with Applications.(2005) In: Tinbergen Institute Discussion Papers.
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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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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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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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2009Seasonality with trend and cycle interactions in unobserved components models In: Journal of the Royal Statistical Society Series C.
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2008Likelihood Functions for State Space Models with Diffuse Initial Conditions.(2008) In: Tinbergen Institute Discussion Papers.
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2002 Constructing Seasonally Adjusted Data with Time-Varying Confidence Intervals. In: Oxford Bulletin of Economics and Statistics.
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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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2009Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* In: Oxford Bulletin of Economics and Statistics.
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2006Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment.(2006) In: Tinbergen Institute Discussion Papers.
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2002Discussion of ‘MCMC‐based inference’ by R. Paap In: Statistica Neerlandica.
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2003Time Series Modelling of Daily Tax Revenues In: Statistica Neerlandica.
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1999Time-Series Modelling of Daily Tax Revenues.(1999) In: Computing in Economics and Finance 1999.
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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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2007Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model.(2007) In: Tinbergen Institute Discussion Papers.
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2019Modified efficient importance sampling for partially non‐Gaussian state space models In: Statistica Neerlandica.
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2004Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers In: Studies in Nonlinear Dynamics & Econometrics.
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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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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.
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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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1997Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.) In: STICERD - Econometrics Paper Series.
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2014Nowcasting and forecasting economic growth in the euro area using principal components In: DNB Working Papers.
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2014Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components.(2014) In: Tinbergen Institute Discussion Papers.
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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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2017Modeling the business and financial cycle in a multivariate structural time series model In: DNB Working Papers.
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2011Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series.
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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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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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2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
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2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers.
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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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2016The information in systemic risk rankings In: Working Paper Series.
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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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2016Global credit risk: world country and industry factors In: Working Paper Series.
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2015Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers.
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2017Global Credit Risk: World, Country and Industry Factors.(2017) In: Journal of Applied Econometrics.
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2004Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices In: Econometric Society 2004 Australasian Meetings.
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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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2003Computing observation weights for signal extraction and filtering.(2003) In: Journal of Economic Dynamics and Control.
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1999Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal.
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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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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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2004Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models.(2004) In: Tinbergen Institute Discussion Papers.
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2006Special Issue on Nonlinear Modelling and Financial Econometrics In: Computational Statistics & Data Analysis.
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2010Exact maximum likelihood estimation for non-stationary periodic time series models In: Computational Statistics & Data Analysis.
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2012Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling In: Computational Statistics & Data Analysis.
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2014Long memory with stochastic variance model: A recursive analysis for US inflation In: Computational Statistics & Data Analysis.
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2011Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control.
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2016Intervention time series analysis of crime rates: The case of sentence reform in Virginia In: Economic Modelling.
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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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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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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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2011Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics.
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2014Generalized dynamic panel data models with random effects for cross-section and time In: Journal of Econometrics.
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2014Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time.(2014) In: Tinbergen Institute Discussion Papers.
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2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
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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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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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2006Credit Cycles and Macro Fundamentals.(2006) In: Tinbergen Institute Discussion Papers.
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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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2012Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis.(2012) In: Tinbergen Institute Discussion Papers.
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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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2017Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models.(2017) In: Tinbergen Institute Discussion Papers.
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2003Business and Default Cycles for Credit Risk.(2003) In: Tinbergen Institute Discussion Papers.
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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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2010Modeling Trigonometric Seasonal Components for Monthly Economic Time Series.(2010) In: Tinbergen Institute Discussion Papers.
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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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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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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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2012Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes In: Tinbergen Institute Discussion Papers.
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2012Forecasting Interest Rates with Shifting Endpoints In: Tinbergen Institute Discussion Papers.
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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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2014Testing for Parameter Instability in Competing Modeling Frameworks In: Tinbergen Institute Discussion Papers.
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2017Maximum Likelihood Estimation for Score-Driven Models In: Tinbergen Institute Discussion Papers.
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2015The Dynamic Skellam Model with Applications In: Tinbergen Institute Discussion Papers.
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2014Information Theoretic Optimality of Observation Driven Time Series Models In: Tinbergen Institute Discussion Papers.
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2014Empirical Bayes Methods for Dynamic Factor Models In: Tinbergen Institute Discussion Papers.
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2017Empirical Bayes Methods for Dynamic Factor Models.(2017) In: The Review of Economics and Statistics.
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2014A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area In: Tinbergen Institute Discussion Papers.
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2014Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties In: Tinbergen Institute Discussion Papers.
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2014Optimal Formulations for Nonlinear Autoregressive Processes In: Tinbergen Institute Discussion Papers.
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2014Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 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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2017Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models.(2017) In: Journal of Applied Econometrics.
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2014Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities In: Tinbergen Institute Discussion Papers.
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2015In-Sample Bounds for Time-Varying Parameters of Observation Driven Models In: Tinbergen Institute Discussion Papers.
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2015Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions In: Tinbergen Institute Discussion Papers.
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2015A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” In: Tinbergen Institute Discussion Papers.
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2018Generalized Autoregressive Method of Moments In: Tinbergen Institute Discussion Papers.
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2016Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S. In: Tinbergen Institute Discussion Papers.
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2016Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models In: Tinbergen Institute Discussion Papers.
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2017Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting In: Tinbergen Institute Discussion Papers.
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2018The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model In: Tinbergen Institute Discussion Papers.
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2018Missing Observations in Observation-Driven Time Series Models In: Tinbergen Institute Discussion Papers.
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2018Forecasting economic time series using score-driven dynamic models with mixed-data sampling 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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2018A Time-Varying Parameter Model for Local Explosions In: Tinbergen Institute Discussion Papers.
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2019Bayesian Risk Forecasting for Long Horizons In: Tinbergen Institute Discussion Papers.
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2013GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS In: Journal of Applied Econometrics.
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2018Dynamic discrete copula models for high‐frequency stock price changes In: Journal of Applied Econometrics.
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