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Siem Jan Koopman : Citation Profile


Are you Siem Jan Koopman?

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

25

H index

48

i10 index

2544

Citations

RESEARCH PRODUCTION:

79

Articles

127

Papers

3

Books

EDITOR:

3

Books edited

RESEARCH ACTIVITY:

   25 years (1992 - 2017). See details.
   Cites by year: 101
   Journals where Siem Jan Koopman has often published
   Relations with other researchers
   Recent citing documents: 180.    Total self citations: 136 (5.07 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pko46
   Updated: 2018-02-17    RAS profile: 2016-11-13    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Lucas, Andre (32)

Blasques, Francisco (18)

Schwaab, Bernd (9)

Mesters, Geert (5)

Creal, Drew (4)

Wintenberger, Olivier (4)

Galati, Gabriele (3)

Łasak, Katarzyna (3)

de Winter, Jasper (3)

Ooms, Marius (3)

Hindrayanto, Irma (2)

Schaumburg, Julia (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 (115)

Proietti, Tommaso (87)

Harvey, Andrew (65)

McAleer, Michael (52)

Asai, Manabu (51)

Schwaab, Bernd (44)

Zhang, Xin (41)

Shephard, Neil (34)

Catania, Leopoldo (32)

Ruiz, Esther (31)

Delle Monache, Davide (30)

Cites to:

Lucas, Andre (133)

Shephard, Neil (90)

Bollerslev, Tim (81)

Harvey, Andrew (79)

Reichlin, Lucrezia (71)

Engle, Robert (67)

Diebold, Francis (61)

Creal, Drew (58)

Watson, Mark (57)

Giannone, Domenico (44)

Duffie, Darrell (30)

Main data


Where Siem Jan Koopman has published?


Journals with more than one article published# docs
Journal of Business & Economic Statistics8
Journal of Econometrics8
International Journal of Forecasting7
Computational Statistics & Data Analysis5
Journal of Applied Econometrics4
Journal of Empirical Finance4
Journal of Business & Economic Statistics3
Statistica Neerlandica3
Oxford Bulletin of Economics and Statistics3
Journal of Applied Econometrics3
The Review of Economics and Statistics2
Biometrika2
Journal of Time Series Analysis2
Journal of Economic Dynamics and Control2
Journal of Forecasting2
Econometric Reviews2
Journal of the Royal Statistical Society Series A2
Journal of Financial Econometrics2
Econometrics Journal2
Journal of the Royal Statistical Society Series C2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute88
Working Paper Series / European Central Bank5
Computing in Economics and Finance 1999 / Society for Computational Economics2

Recent works citing Siem Jan Koopman (2018 and 2017)


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

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

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

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

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

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

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

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

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

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2017Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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

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

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

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

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

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

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

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

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

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

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

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

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2017Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Blasques, Francisco ; Koopman, Siem Jan ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478.

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

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

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

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

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

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

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

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

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

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

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2017Modeling the business and financial cycle in a multivariate structural time series model. (2017). de Winter, Jasper ; Chouhan, Anjali ; Hindrayanto, Irma ; Koopman, Siem Jan. In: DNB Working Papers. RePEc:dnb:dnbwpp:573.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2017From bond yield to macroeconomic instability: A parsimonious affine model. (2017). Recchioni, Maria Cristina ; Tedeschi, Gabriele . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1116-1135.

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2017Integrated hierarchical forecasting. (2017). , Clint ; van Dalen, Jan . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:412-418.

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2018Short-run electricity load forecasting with combinations of stationary wavelet transforms. (2018). Bessec, Marie ; Fouquau, Julien . In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:1:p:149-164.

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2017Relation between higher order comoments and dependence structure of equity portfolio. (2017). cerrato, mario ; Zhao, Yang ; Kim, Minjoo ; Crosby, John. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:101-120.

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2017Forecasting the term structure of government bond yields in unstable environments. (2017). Korobilis, Dimitris ; Byrne, Joseph ; Cao, Shuo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:209-225.

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2017Joint price and volumetric risk in wind power trading: A copula approach. (2017). Pircalabu, A ; Hog, E ; Jung, J ; Hvolby, T. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:139-154.

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2017Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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2017Forecasting crude-oil market volatility: Further evidence with jumps. (2017). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:508-519.

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2017Electricity prices, large-scale renewable integration, and policy implications. (2017). Serletis, Apostolos ; Kyritsis, Evangelos ; Andersson, Jonas . In: Energy Policy. RePEc:eee:enepol:v:101:y:2017:i:c:p:550-560.

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2017Industrial and residential electricity demand dynamics in Japan: How did price and income elasticities evolve from 1989 to 2014?. (2017). Wang, Nan ; Mogi, Gento . In: Energy Policy. RePEc:eee:enepol:v:106:y:2017:i:c:p:233-243.

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2017The growing importance of natural gas as a predictor for retail electricity prices in US. (2017). Alexopoulos, Thomas A. In: Energy. RePEc:eee:energy:v:137:y:2017:i:c:p:219-233.

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2017Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest. (2017). Filis, George ; Antonakakis, Nikolaos ; Chatziantoniou, Ioannis . In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:1-26.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz . In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2017Intraday price discovery in fragmented markets. (2017). Ozturk, Sait ; van Dijk, Dick ; van der Wel, Michel . In: Journal of Financial Markets. RePEc:eee:finmar:v:32:y:2017:i:c:p:28-48.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert . In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2017Political systems and the financial soundness of Islamic banks. (2017). Bitar, Mohammad ; Walker, Thomas ; Hassan, Kabir M. In: Journal of Financial Stability. RePEc:eee:finsta:v:31:y:2017:i:c:p:18-44.

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2017Five different distributions for the Lee–Carter model of mortality forecasting: A comparison using GAS models. (2017). Neves, Cesar ; Hoeltgebaum, Henrique ; Fernandes, Cristiano . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:48-57.

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2017Forecasting the Brazilian yield curve using forward-looking variables. (2017). Fernandes, Marcelo ; Chague, Fernando ; Vieira, Fausto . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:121-131.

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2017Real-time nowcasting the US output gap: Singular spectrum analysis at work. (2017). de Carvalho, Miguel ; Rua, Antonio . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:185-198.

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2017Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

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2017Now-casting the Japanese economy. (2017). Bragoli, Daniela. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:390-402.

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2017Forecasting inflation: Phillips curve effects on services price measures. (2017). Zaman, Saeed ; Tallman, Ellis W. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:442-457.

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2017A bivariate Weibull count model for forecasting association football scores. (2017). Boshnakov, Georgi ; McHale, Ian G ; Kharrat, Tarak . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:458-466.

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2017Adaptive models and heavy tails with an application to inflation forecasting. (2017). Petrella, Ivan ; Delle Monache, Davide. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:482-501.

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2017A wavelet-based multivariate multiscale approach for forecasting. (2017). Rua, Antonio . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:581-590.

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2017Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742.

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2017Threshold stochastic volatility: Properties and forecasting. (2017). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1105-1123.

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2017Business tendency surveys and macroeconomic fluctuations. (2017). Scheufele, Rolf ; Kaufmann, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:878-893.

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2017Network, market, and book-based systemic risk rankings. (2017). van de Leur, Michiel ; Lucas, Andre ; Seeger, Norman J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:84-90.

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2017Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration. (2017). Miller, Stephen ; Canarella, Giorgio . In: Journal of Economics and Business. RePEc:eee:jebusi:v:92:y:2017:i:c:p:45-62.

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2017Debt correlations in the wake of the financial crisis: What are appropriate default correlations for structured products?. (2017). Nickerson, Jordan ; Griffin, John M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:454-474.

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2017Do banks’ overnight borrowing rates lead their CDS price? Evidence from the Eurosystem. (2017). Tolo, Eero ; Viren, Matti ; Jokivuolle, Esa . In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:31:y:2017:i:c:p:93-106.

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2017Has there actually been a sustained increase in the synchronization of house price (and business) cycles across countries?. (2017). Miles, William. In: Journal of Housing Economics. RePEc:eee:jhouse:v:36:y:2017:i:c:p:25-43.

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2017The G7 business cycle in a globalized world. (2017). Carstensen, Kai ; Salzmann, L. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:134-161.

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2017Violations of uncovered interest rate parity and international exchange rate dependences. (2017). Ames, Matthew ; Peters, Gareth W ; Bagnarosa, Guillaume . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:162-187.

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2017Varying coefficient functional autoregressive model with application to the U.S. treasuries. (2017). Xu, Meng ; Chen, Ying ; Li, Jialiang. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:159:y:2017:i:c:p:168-183.

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2017Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?. (2017). Gilbert, Thomas ; Vega, Clara ; Strasser, Georg ; Scotti, Chiara . In: Journal of Monetary Economics. RePEc:eee:moneco:v:92:y:2017:i:c:p:78-95.

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2017Currency price risk and stock market returns in Africa: Dependence and downside spillover effects with stochastic copulas. (2017). Boako, Gideon ; Alagidede, Paul. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:41:y:2017:i:c:p:92-114.

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2017Conditional dependence between international stock markets: A long memory GARCH-copula model approach. (2017). Mokni, Khaled ; Mansouri, Faysal . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:42-43:y:2017:i::p:116-131.

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2017Operational disruptions and business cycles. (2017). Wagner, Stephan M ; Papageorgiou, Stylianos ; Mizgier, Kamil J. In: International Journal of Production Economics. RePEc:eee:proeco:v:183:y:2017:i:pa:p:66-78.

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2017Determining the effectiveness of the Eurosystem’s Covered Bond Purchase Programs on secondary markets. (2017). Zietz, Joachim ; Markmann, Holger. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:314-327.

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2017Comparative analysis of soiling of CSP mirror materials in arid zones. (2017). Bouaddi, S ; Fernandez-Garcia, A ; Ihlal, A. In: Renewable Energy. RePEc:eee:renene:v:101:y:2017:i:c:p:437-449.

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2018Sizing and rough optimization of a hybrid renewable-based farm in a stand-alone marine context. (2018). Benbouzid, Mohamed ; el Tawil, Tony ; Charpentier, Jean Frederic . In: Renewable Energy. RePEc:eee:renene:v:115:y:2018:i:c:p:1134-1143.

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2017A review of the decomposition methodology for extracting and identifying the fluctuation characteristics in electricity demand forecasting. (2017). Shao, Zhen ; Zhou, Kai-Le ; Yang, Shan-Lin ; Chao, FU. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:75:y:2017:i:c:p:123-136.

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2017Space-time variability of climate variables and intermittent renewable electricity production – A review. (2017). Engeland, Kolbjorn ; Vidal, Jean-Philippe ; Ramos, Maria-Helena ; Franois, Baptiste ; Creutin, Jean-Dominique ; Borga, Marco . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:79:y:2017:i:c:p:600-617.

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

Siem Jan Koopman has edited the books:


YearTitleTypeCited

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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paper1
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers.
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paper0
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models *.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2007Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices In: Journal of the American Statistical Association.
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article93
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: 93
paper
1992Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article102
1997The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]
article27
2004State Space Models With a Common Stochastic Variance In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article7
2006Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article32
2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
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article29
2008A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics.
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article16
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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This paper has another version. Agregated cites: 16
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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article33
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics.
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article62
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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paper9
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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This paper has another version. Agregated cites: 2
paper
2015A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League In: Journal of the Royal Statistical Society Series A.
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article5
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: 5
paper
2000Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives In: Journal of the Royal Statistical Society Series B.
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article56
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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This paper has another version. Agregated cites: 56
paper
2009Seasonality with trend and cycle interactions in unobserved components models In: Journal of the Royal Statistical Society Series C.
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article4
2008Seasonality with Trend and Cycle Interactions in Unobserved Components Models.(2008) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 4
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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article3
2003Filtering and smoothing of state vector for diffuse state-space models In: Journal of Time Series Analysis.
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article19
2010Likelihood functions for state space models with diffuse initial conditions In: Journal of Time Series Analysis.
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article8
2008Likelihood Functions for State Space Models with Diffuse Initial Conditions.(2008) 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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article25
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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This paper has another version. Agregated cites: 3
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.
[Full Text][Citation analysis]
article5
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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This paper has another version. Agregated cites: 5
paper
2008Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model In: Statistica Neerlandica.
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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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This paper has another version. Agregated cites: 0
paper
2004Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers In: Studies in Nonlinear Dynamics & Econometrics.
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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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paper0
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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paper0
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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paper4
2011Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series.
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paper20
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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paper21
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: 21
article
2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
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paper25
2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers.
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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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This paper has another version. Agregated cites: 25
article
2016The information in systemic risk rankings In: Working Paper Series.
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paper5
2016The information in systemic risk rankings.(2016) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 5
article
2015The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 5
paper
2016Global credit risk: world country and industry factors In: Working Paper Series.
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paper3
2015Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 3
paper
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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paper
2000Computing Observation Weights for Signal Extraction and Filtering In: Econometric Society World Congress 2000 Contributed Papers.
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paper36
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.
[Citation analysis]
article157
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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article43
1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper.
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paper
2006Forecasting daily time series using periodic unobserved components time series models In: Computational Statistics & Data Analysis.
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article7
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: 7
paper
2006Special Issue on Nonlinear Modelling and Financial Econometrics In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article2
2010Exact maximum likelihood estimation for non-stationary periodic time series models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article5
2012Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article4
2014Long memory with stochastic variance model: A recursive analysis for US inflation In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article5
2011Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article25
2011Maximum likelihood estimation for dynamic factor models with missing data.(2011) In: Post-Print.
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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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article4
2016Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area.(2016) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 4
paper
2008The multi-state latent factor intensity model for credit rating transitions In: Journal of Econometrics.
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article34
2005The Multi-State Latent Factor Intensity Model for Credit Rating Transitions.(2005) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 34
paper
2009Testing the assumptions behind importance sampling In: Journal of Econometrics.
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article14
2011Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics.
[Full Text][Citation analysis]
article28
2014Generalized dynamic panel data models with random effects for cross-section and time In: Journal of Econometrics.
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article5
2014Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 5
paper
2016Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics.
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article0
2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
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article11
2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers.
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paper
2014Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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paper
1997Detecting shocks: Outliers and breaks in time series In: Journal of Econometrics.
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article14
1998Estimation of stochastic volatility models via Monte Carlo maximum likelihood In: Journal of Econometrics.
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article93
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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article138
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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article35
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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article25
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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article5
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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article3
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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article2
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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paper
2016Forecasting and nowcasting economic growth in the euro area using factor models In: International Journal of Forecasting.
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2005Empirical credit cycles and capital buffer formation In: Journal of Banking & Finance.
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article31
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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paper14
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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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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article57
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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article0
2006A non-Gaussian generalization of the Airline model for robust seasonal adjustment In: Journal of Forecasting.
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article1
2011Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra In: Journal of Forecasting.
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article1
2011Statistical Software for State Space Methods In: Journal of Statistical Software.
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article14
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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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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article7
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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2001Time Series Analysis by State Space Methods In: OUP Catalogue.
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2012Time Series Analysis by State Space Methods.(2012) In: OUP Catalogue.
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2007An Introduction to State Space Time Series Analysis In: OUP Catalogue.
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2003Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area In: Working Papers.
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2003Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area.(2003) In: Tinbergen Institute Discussion Papers.
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2001An efficient and simple simulation smoother for state space time series analysis In: Computing in Economics and Finance 2001.
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1999Fast Estimation of Parameters in State Space Models In: Computing in Economics and Finance 1999.
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2001Interaction between structural and cyclical shocks in production and employment In: Review of World Economics (Weltwirtschaftliches Archiv).
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2013Modelling trigonometric seasonal components for monthly economic time series In: Applied Economics.
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2010Modeling Trigonometric Seasonal Components for Monthly Economic Time Series.(2010) In: Tinbergen Institute Discussion Papers.
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2006Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models In: Econometric Reviews.
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2016Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models In: Econometric Reviews.
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2011Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models.(2011) In: Tinbergen Institute Discussion Papers.
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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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