35
H index
81
i10 index
5948
Citations
Siem Jan Koopman : Citation Profile
Tinbergen Instituut (10% share) | RESEARCH PRODUCTION: 105 Articles 157 Papers 3 Books 3 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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32 years (1992 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Siem Jan Koopman. | Is cited by:
| Cites to:
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Main data
Where Siem Jan Koopman has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Tinbergen Institute Discussion Papers / Tinbergen Institute | 111 |
| Working Paper Series / European Central Bank | 5 |
| Computing in Economics and Finance 1999 / Society for Computational Economics | 2 |
| Post-Print / HAL | 2 |
Recent works citing Siem Jan Koopman (2024 and 2023)
| Year | Title of citing document | |
|---|---|---|
| 2023 | A Sufficient Statistics Approach for Macro Policy. (2023). Mesters, Geert ; Barnichon, Regis. In: American Economic Review. RePEc:aea:aecrev:v:113:y:2023:i:11:p:2809-45. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2023 | FINANCIAL RISK OPTIMISATION METHODS: A SURVEY. (2023). Chiper, Alexandra-Maria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:chipera. Full description at Econpapers || Download paper | |
| 2023 | Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542. Full description at Econpapers || Download paper | |
| 2023 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper | |
| 2024 | Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318. Full description at Econpapers || Download paper | |
| 2024 | Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821. Full description at Econpapers || Download paper | |
| 2023 | Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887. Full description at Econpapers || Download paper | |
| 2024 | Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601. Full description at Econpapers || Download paper | |
| 2024 | A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708. Full description at Econpapers || Download paper | |
| 2023 | Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043. Full description at Econpapers || Download paper | |
| 2023 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper | |
| 2024 | Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction. (2022). Salish, Nazarii ; Otto, Sven. In: Papers. RePEc:arx:papers:2201.02532. Full description at Econpapers || Download paper | |
| 2023 | Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices. (2022). Ricco, Giovanni ; Pellegrino, Filippo ; Hasenzagl, Thomas ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2201.05556. Full description at Econpapers || Download paper | |
| 2024 | Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper | |
| 2023 | Estimating the Currency Composition of Foreign Exchange Reserves. (2022). Ferranti, Matthew. In: Papers. RePEc:arx:papers:2206.13751. Full description at Econpapers || Download paper | |
| 2024 | A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595. Full description at Econpapers || Download paper | |
| 2023 | Efficient variational approximations for state space models. (2022). Nibbering, Didier ; Loaiza-Maya, Rub'En. In: Papers. RePEc:arx:papers:2210.11010. Full description at Econpapers || Download paper | |
| 2024 | Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363. Full description at Econpapers || Download paper | |
| 2024 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper | |
| 2023 | Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687. Full description at Econpapers || Download paper | |
| 2023 | Bridging the Covid-19 Data and the Epidemiological Model using Time-Varying Parameter SIRD Model. (2023). Simsek, Yasin ; Cakmakli, Cem. In: Papers. RePEc:arx:papers:2301.13692. Full description at Econpapers || Download paper | |
| 2024 | High-Dimensional Causality for Climatic Attribution. (2023). Smeekes, Stephan ; Margaritella, Luca ; Friedrich, Marina. In: Papers. RePEc:arx:papers:2302.03996. Full description at Econpapers || Download paper | |
| 2023 | Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651. Full description at Econpapers || Download paper | |
| 2023 | Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863. Full description at Econpapers || Download paper | |
| 2024 | Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777. Full description at Econpapers || Download paper | |
| 2023 | sparseDFM: An R Package to Estimate Dynamic Factor Models with Sparse Loadings. (2023). Gibberd, Alex ; Chan, Tak-Shing ; Mosley, Luke. In: Papers. RePEc:arx:papers:2303.14125. Full description at Econpapers || Download paper | |
| 2024 | GDP nowcasting with artificial neural networks: How much does long-term memory matter?. (2023). Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2304.05805. Full description at Econpapers || Download paper | |
| 2023 | Particle MCMC in forecasting frailty correlated default models with expert opinion. (2023). Nguyen, HA. In: Papers. RePEc:arx:papers:2304.11586. Full description at Econpapers || Download paper | |
| 2023 | Band-Pass Filtering with High-Dimensional Time Series. (2023). Proietti, Tommaso ; Lippi, Marco ; Giovannelli, Alessandro. In: Papers. RePEc:arx:papers:2305.06618. Full description at Econpapers || Download paper | |
| 2024 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper | |
| 2023 | Nowcasting with signature methods. (2023). Mantoan, Giulia ; Malpass, Will ; Lui, Silvia ; Cohen, Samuel N ; Yang, Lingyi ; Small, Emma ; Scott, Craig ; Reeves, Andrew ; Nesheim, Lars. In: Papers. RePEc:arx:papers:2305.10256. Full description at Econpapers || Download paper | |
| 2023 | Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991. Full description at Econpapers || Download paper | |
| 2023 | Hybrid unadjusted Langevin methods for high-dimensional latent variable models. (2023). Zhu, Dan ; Nibbering, Didier ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:2306.14445. Full description at Econpapers || Download paper | |
| 2024 | Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods. (2023). Mazzarisi, Piero ; Lillo, Fabrizio ; Tsaknaki, Ioanna-Yvonni. In: Papers. RePEc:arx:papers:2307.02375. Full description at Econpapers || Download paper | |
| 2024 | Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series. (2023). Pipiras, Vladas ; Fisher, Zachary F ; Kim, Younghoon. In: Papers. RePEc:arx:papers:2307.10454. Full description at Econpapers || Download paper | |
| 2023 | The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Kontoyiannis, Ioannis ; Papageorgiou, Ioannis. In: Papers. RePEc:arx:papers:2308.00913. Full description at Econpapers || Download paper | |
| 2023 | Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617. Full description at Econpapers || Download paper | |
| 2023 | Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061. Full description at Econpapers || Download paper | |
| 2024 | DeepVol: A Deep Transfer Learning Approach for Universal Asset Volatility Modeling. (2023). Kohn, Robert ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Liu, Chen. In: Papers. RePEc:arx:papers:2309.02072. Full description at Econpapers || Download paper | |
| 2023 | Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach. (2023). Kulikov, Gennady ; Kulikova, Maria. In: Papers. RePEc:arx:papers:2310.04125. Full description at Econpapers || Download paper | |
| 2023 | From Deep Filtering to Deep Econometrics. (2023). Bilokon, Paul ; Stok, Robert. In: Papers. RePEc:arx:papers:2311.06256. Full description at Econpapers || Download paper | |
| 2024 | Comparing MCMC algorithms in Stochastic Volatility Models using Simulation Based Calibration. (2024). Wee, Benjamin. In: Papers. RePEc:arx:papers:2402.12384. Full description at Econpapers || Download paper | |
| 2024 | Convolution-t Distributions. (2024). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2404.00864. Full description at Econpapers || Download paper | |
| 2024 | Non-stationary Financial Risk Factors and Macroeconomic Vulnerability for the UK. (2024). Szendrei, Tibor ; Varga, Katalin. In: Papers. RePEc:arx:papers:2404.01451. Full description at Econpapers || Download paper | |
| 2024 | Statistical Validation of Contagion Centrality in Financial Networks. (2024). Feinstein, Zachary ; Sadeghi, Agathe. In: Papers. RePEc:arx:papers:2404.14337. Full description at Econpapers || Download paper | |
| 2024 | Calibration of the rating transition model for high and low default portfolios. (2024). Spreij, Peter ; Khedher, Asma. In: Papers. RePEc:arx:papers:2405.00576. Full description at Econpapers || Download paper | |
| 2023 | Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303. Full description at Econpapers || Download paper | |
| 2023 | Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2023 | Forecasting banknote circulation during the COVID-19 pandemic using structural time series models. (2023). de Pastor, Raymond ; Devigne, Lucas ; Brandi, Marco ; Bartzsch, Nikolaus ; Sene, Gabriele ; Restrepo, Diana Posada ; Maddaloni, Gianluca. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_771_23. Full description at Econpapers || Download paper | |
| 2023 | A trend-cycle decomposition with hysteresis. (2023). Roa Rozo, Julián ; Gómez-Pineda, Javier ; Roa-Rozo, Julian ; Gomez-Pineda, Javier G. In: Borradores de Economia. RePEc:bdr:borrec:1230. Full description at Econpapers || Download paper | |
| 2023 | Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068. Full description at Econpapers || Download paper | |
| 2024 | Estimating perennial crop supply response: A methodology literature review. (2024). Tregeagle, Daniel ; Astill, Gregory ; Siegle, Jonathon ; Plakias, Zoe. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:2:p:159-180. Full description at Econpapers || Download paper | |
| 2023 | Dynamic logistic state space prediction model for clinical decision making. (2023). Guo, Wensheng ; Kimmel, Stephen E ; Schnellinger, Erin M ; Yang, Wei ; Jiang, Jiakun. In: Biometrics. RePEc:bla:biomet:v:79:y:2023:i:1:p:73-85. Full description at Econpapers || Download paper | |
| 2023 | Heterogeneous predictive association of CO2 with global warming. (2023). Ramos, Andrey ; Gonzalo, Jesus ; Dolado, Juan J ; Chen, Liang. In: Economica. RePEc:bla:econom:v:90:y:2023:i:360:p:1397-1421. Full description at Econpapers || Download paper | |
| 2023 | BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS. (2023). Strachan, Rodney. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:58-75. Full description at Econpapers || Download paper | |
| 2024 | A Bayesian non?linear state space copula model for air pollution in Beijing. (2022). Dalla Valle, Luciana ; Czado, Claudia ; Kreuzer, Alexander. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:3:p:613-638. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2024 | Modeling the Interactions between Volatility and Returns using EGARCHâ€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. Full description at Econpapers || Download paper | |
| 2024 | A family of multivariate nonâ€gaussian time series models. (2020). Soyer, Refik ; Polson, Nicholas G ; Aktekin, Tevfik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:691-721. Full description at Econpapers || Download paper | |
| 2023 | Integer?valued asymmetric garch modeling. (2021). Andrews, Beth ; Hu, Xiaofei. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:5-6:p:737-751. Full description at Econpapers || Download paper | |
| 2023 | Regime switching models for circular and linear time series. (2023). Harvey, Andrew ; Palumbo, Dario. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:4:p:374-392. Full description at Econpapers || Download paper | |
| 2023 | Contradictory effects of technological change across developed countries. (2023). Rossen, Anja ; Ludewig, Oliver ; Blien, Uwe. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:2:p:580-608. Full description at Econpapers || Download paper | |
| 2024 | Forecasting aggregate claims using scoreâ€driven time series models. (2018). Arozo, Mariana ; Eduardo, . In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:3:p:354-374. Full description at Econpapers || Download paper | |
| 2024 | Autoregressive and moving average models for zero?inflated count time series. (2022). Tiwari, Rashmi ; Mukhopadhyay, Siuli ; Sathish, Vurukonda. In: Statistica Neerlandica. RePEc:bla:stanee:v:76:y:2022:i:2:p:190-218. Full description at Econpapers || Download paper | |
| 2023 | Risky news and credit market sentiment. (2023). Thorsrud, Leif Anders ; Labonne, Paul. In: Working Papers. RePEc:bny:wpaper:0125. Full description at Econpapers || Download paper | |
| 2023 | Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1. Full description at Econpapers || Download paper | |
| 2023 | Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8. Full description at Econpapers || Download paper | |
| 2023 | Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1. Full description at Econpapers || Download paper | |
| 2023 | Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach. (2023). Vespignani, Joaquin ; Vocalelli, Giorgio ; Ravazzolo, Francesco ; Grassi, Stefano. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps100. Full description at Econpapers || Download paper | |
| 2023 | Estimation of the TFP Gap for the Largest Five EMU Countries. (2023). Rossian, Thies ; Kiessner, Felix ; Carstensen, Kai. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10245. Full description at Econpapers || Download paper | |
| 2023 | Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366. Full description at Econpapers || Download paper | |
| 2023 | Does U.S. Monetary Policy Respond to Macroeconomic Uncertainty?. (2023). Piccillo, Giulia ; Gomez, Thomas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10407. Full description at Econpapers || Download paper | |
| 2023 | Persistence in Tax Revenues: Evidence from Some OECD Countries. (2023). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tapia, Silvia Garcia. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10682. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Siem Jan Koopman has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Siem Jan Koopman:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2007 | Long memory modelling of inflation with stochastic variance and structural breaks In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 2007 | Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks.(2007) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2009 | Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 11 |
| 2014 | SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES.(2014) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2019 | Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
| 2021 | Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors.(2021) In: Energy Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2020 | A statistical model of the global carbon budget In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2018 | Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2007 | Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 156 |
| 2005 | Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices.(2005) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 156 | paper | |
| 1992 | Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 163 |
| 1997 | The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 41 |
| 2004 | State Space Models With a Common Stochastic Variance In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 11 |
| 2006 | Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 52 |
| 2007 | Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 44 |
| 2008 | A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 23 |
| 2005 | A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2010 | Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 75 |
| 2011 | A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 143 |
| 2011 | A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 143 | article | |
| 2010 | A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2010) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 143 | paper | |
| 2010 | Common business and housing market cycles in the Euro area from a multivariate decomposition. In: Working papers. [Full Text][Citation analysis] | paper | 17 |
| 2008 | Model-based measurement of latent risk in time series with applications In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 2 |
| 2005 | Model-based Measurement of Latent Risk in Time Series with Applications.(2005) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2015 | A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 38 |
| 2012 | A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League.(2012) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | paper | |
| 2019 | The analysis and forecasting of tennis matches by using a high dimensional dynamic model In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 6 |
| 2000 | Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 102 |
| 1998 | Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives.(1998) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 102 | paper | |
| 1998 | Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives.(1998) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 102 | paper | |
| 2009 | Seasonality with trend and cycle interactions in unobserved components models In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 7 |
| 2008 | Seasonality with Trend and Cycle Interactions in Unobserved Components Models.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2010 | Multivariate non-linear time series modelling of exposure and risk in road safety research In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 4 |
| 2000 | Fast Filtering and Smoothing for Multivariate State Space Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 88 |
| 1998 | Fast Filtering and Smoothing for Multivariate State Space Models.(1998) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 88 | paper | |
| 1998 | Fast Filtering and Smoothing for Multivariate State Space Models.(1998) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 88 | paper | |
| 2010 | Likelihood functions for state space models with diffuse initial conditions In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 24 |
| 2008 | Likelihood Functions for State Space Models with Diffuse Initial Conditions.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
| 2017 | Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 47 |
| 2014 | Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
| 2008 | Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 44 |
| 2009 | Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 5 |
| 2006 | Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment.(2006) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2022 | Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 7 |
| 2003 | Time Series Modelling of Daily Tax Revenues In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 14 |
| 1999 | Time-Series Modelling of Daily Tax Revenues.(1999) In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2001 | Time Series Modelling of Daily Tax Revenues.(2001) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2004 | Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 10 |
| 1992 | Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 3 |
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| 1996 | Multivariate Structural Time Series Models - (Now published in System Dynamics in Economic and Financial Models, CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997 In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 2 |
| 1997 | Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 0 |
| 2011 | Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series. [Full Text][Citation analysis] | paper | 38 |
| 2012 | Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 In: Working Paper Series. [Full Text][Citation analysis] | paper | 34 |
| 2012 | Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008.(2012) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
| 2013 | Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series. [Full Text][Citation analysis] | paper | 71 |
| 2011 | Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 71 | paper | |
| 2014 | Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 71 | article | |
| 2016 | The information in systemic risk rankings In: Working Paper Series. [Full Text][Citation analysis] | paper | 34 |
| 2016 | The information in systemic risk rankings.(2016) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
| 2015 | The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
| 2016 | Global credit risk: world country and industry factors In: Working Paper Series. [Full Text][Citation analysis] | paper | 22 |
| 2015 | Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
| 2017 | Global Credit Risk: World, Country and Industry Factors.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
| 2004 | Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 20 |
| 2003 | Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices.(2003) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2000 | Computing Observation Weights for Signal Extraction and Filtering In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 76 |
| 2003 | Computing observation weights for signal extraction and filtering.(2003) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 76 | article | |
| 1999 | Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal. [Citation analysis] | article | 230 |
| 1998 | Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 230 | paper | |
| 1998 | Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 230 | paper | |
| 2000 | Signal extraction and the formulation of unobserved components models In: Econometrics Journal. [Citation analysis] | article | 53 |
| 1999 | Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
| 1999 | Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
| 2006 | Forecasting daily time series using periodic unobserved components time series models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 11 |
| 2004 | Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models.(2004) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2006 | Special Issue on Nonlinear Modelling and Financial Econometrics In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 3 |
| 2010 | Exact maximum likelihood estimation for non-stationary periodic time series models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 5 |
| 2012 | Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 11 |
| 2014 | Long memory with stochastic variance model: A recursive analysis for US inflation In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 13 |
| 2011 | Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 53 |
| 2011 | Maximum likelihood estimation for dynamic factor models with missing data.(2011) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
| 2016 | Intervention time series analysis of crime rates: The case of sentence reform in Virginia In: Economic Modelling. [Full Text][Citation analysis] | article | 3 |
| 2016 | Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area In: Economics Letters. [Full Text][Citation analysis] | article | 90 |
| 2016 | Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | paper | |
| 2024 | A robust Beveridge–Nelson decomposition using a score-driven approach with an application In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2008 | The multi-state latent factor intensity model for credit rating transitions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 65 |
| 2005 | The Multi-State Latent Factor Intensity Model for Credit Rating Transitions.(2005) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 65 | paper | |
| 2009 | Testing the assumptions behind importance sampling In: Journal of Econometrics. [Full Text][Citation analysis] | article | 21 |
| 2011 | Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics. [Full Text][Citation analysis] | article | 86 |
| 2014 | Generalized dynamic panel data models with random effects for cross-section and time In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2014 | Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2016 | Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 19 |
| 2016 | Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 75 |
| 2014 | Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 75 | paper | |
| 2014 | Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 75 | paper | |
| 2019 | Accelerating score-driven time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
| 2020 | Long-term forecasting of El Niño events via dynamic factor simulations In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2020 | The dynamic factor network model with an application to international trade In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2020 | Partially censored posterior for robust and efficient risk evaluation In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2019 | Partially Censored Posterior for Robust and Efficient Risk Evaluation.(2019) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2021 | Missing observations in observation-driven time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2018 | Missing Observations in Observation-Driven Time Series Models.(2018) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2022 | A time-varying parameter model for local explosions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2018 | A Time-Varying Parameter Model for Local Explosions.(2018) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2022 | Maximum likelihood estimation for score-driven models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 30 |
| 2017 | Maximum Likelihood Estimation for Score-Driven Models.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
| 2023 | Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2020 | Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects.(2020) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2023 | Time-Varying Parameters in Econometrics: The editor’s foreword In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2024 | Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2024 | Observation-driven filtering of time-varying parameters using moment conditions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 1997 | Detecting shocks: Outliers and breaks in time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 24 |
| 1998 | Estimation of stochastic volatility models via Monte Carlo maximum likelihood In: Journal of Econometrics. [Full Text][Citation analysis] | article | 148 |
| 2005 | Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 337 |
| 2004 | Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements.(2004) In: Computing in Economics and Finance 2004. [Citation analysis] This paper has nother version. Agregated cites: 337 | paper | |
| 2004 | Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements.(2004) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 337 | paper | |
| 2009 | Credit cycles and macro fundamentals In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 66 |
| 2006 | Credit Cycles and Macro Fundamentals.(2006) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
| 2006 | Credit cycles and macro fundamentals.(2006) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
| 2014 | Long memory dynamics for multivariate dependence under heavy tails In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 27 |
| 2011 | Long Memory Dynamics for Multivariate Dependence under Heavy Tails.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
| 2008 | An hourly periodic state space model for modelling French national electricity load In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 47 |
| 2008 | An Hourly Periodic State Space Model for Modelling French National Electricity Load.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
| 2010 | Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 2013 | Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 15 |
| 2011 | Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2014 | Forecasting macroeconomic variables using collapsed dynamic factor analysis In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 26 |
| 2012 | Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis.(2012) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2014 | Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 7 |
| 2016 | In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 19 |
| 2015 | In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2016 | Forecasting and nowcasting economic growth in the euro area using factor models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 16 |
| 2019 | Forecasting football match results in national league competitions using score-driven time series models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 17 |
| 2017 | Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2019 | Forecasting economic time series using score-driven dynamic models with mixed-data sampling In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 11 |
| 2018 | Forecasting economic time series using score-driven dynamic models with mixed-data sampling.(2018) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2021 | Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
| 2021 | Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data.(2021) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2005 | Empirical credit cycles and capital buffer formation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 35 |
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| 1999 | MESSY TIME SERIES In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 0 |
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| 2016 | The dynamic factor network model with an application to global credit risk In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2016 | The Dynamic Factor Network Model with an Application to Global Credit-Risk.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2016 | Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models * In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
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| 2008 | A General Framework for Observation Driven Time-Varying Parameter Models.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | paper | |
| 2002 | The stochastic volatility in mean model: empirical evidence from international stock markets In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 111 |
| 2002 | The stochastic volatility in mean model: empirical evidence from international stock markets.(2002) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 111 | article | |
| 2004 | Convergence in European GDP series: a multivariate common converging trend-cycle decomposition In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 31 |
| 2005 | Business and default cycles for credit risk In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 90 |
| 2003 | Business and Default Cycles for Credit Risk.(2003) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | paper | |
| 2005 | Business and default cycles for credit risk.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | article | |
| 2010 | Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 7 |
| 2008 | Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2012 | Economic Trends and Cycles in Crime: A Study for England and Wales In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik). [Full Text][Citation analysis] | article | 0 |
| 2006 | A non-Gaussian generalization of the Airline model for robust seasonal adjustment In: Journal of Forecasting. [Full Text][Citation analysis] | article | 7 |
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| 2023 | On the evidence of a trend in the CO2 airborne fraction In: Nature. [Full Text][Citation analysis] | article | 0 |
| 2012 | Regime switches in the volatility and correlation of financial institutions In: Working Paper Research. [Full Text][Citation analysis] | paper | 6 |
| 2017 | Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting In: NBP Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Testing the Assumptions Behind the Use of Importance Sampling In: Economics Papers. [Full Text][Citation analysis] | paper | 6 |
| 2015 | Information-theoretic optimality of observation-driven time series models for continuous responses In: Biometrika. [Full Text][Citation analysis] | article | 78 |
| 2018 | Amendments and Corrections In: Biometrika. [Full Text][Citation analysis] | article | 0 |
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| 2012 | Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 15 |
| 2009 | Spot Variance Path Estimation and its Application to High Frequency Jump Testing.(2009) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2012 | The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 37 |
| 2011 | The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
| 2017 | Testing for Parameter Instability across Different Modeling Frameworks In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 9 |
| 2018 | Bayesian Dynamic Modeling of High-Frequency Integer Price Changes In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2018 | Bayesian Dynamic Modeling of High-Frequency Integer Price Changes.(2018) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2019 | Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 22 |
| 2016 | Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
| 2001 | Time Series Analysis by State Space Methods In: OUP Catalogue. [Citation analysis] | book | 1335 |
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| 2003 | Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2003 | Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area.(2003) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2001 | An efficient and simple simulation smoother for state space time series analysis In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 9 |
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| 2023 | Estimation of final standings in football competitions with a premature ending: the case of COVID-19 In: AStA Advances in Statistical Analysis. [Full Text][Citation analysis] | article | 1 |
| 2020 | Estimation of final standings in football competitions with premature ending: the case of COVID-19.(2020) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2001 | Interaction between structural and cyclical shocks in production and employment In: Review of World Economics (Weltwirtschaftliches Archiv). [Full Text][Citation analysis] | article | 6 |
| 2013 | Modelling trigonometric seasonal components for monthly economic time series In: Applied Economics. [Full Text][Citation analysis] | article | 4 |
| 2010 | Modeling Trigonometric Seasonal Components for Monthly Economic Time Series.(2010) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2006 | Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models In: Econometric Reviews. [Full Text][Citation analysis] | article | 15 |
| 2016 | Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models In: Econometric Reviews. [Full Text][Citation analysis] | article | 6 |
| 2011 | Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2020 | Nonlinear autoregressive models with optimality properties In: Econometric Reviews. [Full Text][Citation analysis] | article | 3 |
| 2017 | Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 18 |
| 2015 | Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2015 | Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 14 |
| 2012 | Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models.(2012) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 1997 | Interaction between Supply and Demand Shocks in Production and Employment In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | The Stochastic Volatility in Mean Model In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2000 | Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
| 2002 | Stock Index Volatility Forecasting with High Frequency Data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 14 |
| 2002 | Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
| 2002 | Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Convergence in European GDP Series In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 12 |
| 2003 | Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2003 | Intervention Time Series Analysis of Crime Rates In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2003 | Measuring Synchronisation and Convergence of Business Cycles In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 15 |
| 2005 | Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2005 | On Importance Sampling for State Space Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2006 | Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2014 | Likelihood-based Analysis for Dynamic Factor Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
| 2008 | Forecasting Cross-Sections of Frailty-Correlated Default In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2008 | Spline Smoothing over Difficult Regions In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Dynamic Factor Analysis in The Presence of Missing Data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2010 | Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 2010 | Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Systemic Risk Diagnostics In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
| 2011 | Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 11 |
| 2012 | Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Fast Efficient Importance Sampling by State Space Methods In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 81 |
| 2016 | Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models.(2016) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 81 | article | |
| 2012 | Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
| 2012 | Forecasting Interest Rates with Shifting Endpoints In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 32 |
| 2014 | Forecasting interest rates with shifting endpoints.(2014) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | article | |
| 2012 | A Forty Year Assessment of Forecasting the Boat Race In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Testing for Parameter Instability in Competing Modeling Frameworks In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2015 | The Dynamic Skellam Model with Applications In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Information Theoretic Optimality of Observation Driven Time Series Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
| 2014 | Empirical Bayes Methods for Dynamic Factor Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 2017 | Empirical Bayes Methods for Dynamic Factor Models.(2017) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2014 | A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 15 |
| 2014 | Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
| 2014 | Optimal Formulations for Nonlinear Autoregressive Processes In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 14 |
| 2014 | Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Temporal, Spatial, Economic and Crime Factors in Illicit Drug Usage across European Cities In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | In-Sample Bounds for Time-Varying Parameters of Observation Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 2015 | A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model†In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Generalized Autoregressive Method of Moments In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
| 2016 | Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S. In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 16 |
| 2017 | Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2019 | Bayesian Risk Forecasting for Long Horizons In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Forecasting in a changing world: from the great recession to the COVID-19 pandemic In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2021 | Time-varying state correlations in state space models and their estimation via indirect inference In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Finding the European crime drop using a panel data model with stochastic trends In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Extremum Monte Carlo Filters: Real-Time Signal Extraction via Simulation and Regression In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Modelling bid-ask spreads in competitive dealership markets In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Modelling bid-ask spreads in competitive dealership markets.(1998) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1996 | Interaction between supply and demand in production and employment In: Serie Research Memoranda. [Full Text][Citation analysis] | paper | 0 |
| 2013 | GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 444 |
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