Siem Jan Koopman : Citation Profile

Are you Siem Jan Koopman?

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

31

H index

65

i10 index

3985

Citations

RESEARCH PRODUCTION:

100

Articles

151

Papers

3

Books

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   29 years (1992 - 2021). See details.
   Cites by year: 137
   Journals where Siem Jan Koopman has often published
   Relations with other researchers
   Recent citing documents: 342.    Total self citations: 178 (4.28 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pko46
   Updated: 2021-05-03    RAS profile: 2021-01-17    
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Relations with other researchers

Works with:

Lucas, Andre (19)

Blasques, Francisco (16)

Schwaab, Bernd (4)

Li, Mengheng (4)

Wintenberger, Olivier (3)

Bräuning, Falk (3)

Galati, Gabriele (3)

van Dijk, Herman (2)

Creal, Drew (2)

Mesters, Geert (2)

Nucera, Federico (2)

Hansen, Peter (2)

de Winter, Jasper (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 (141)

Proietti, Tommaso (112)

Harvey, Andrew (81)

Schwaab, Bernd (69)

McAleer, Michael (58)

Asai, Manabu (57)

Zhang, Xin (46)

Shephard, Neil (45)

Delle Monache, Davide (44)

Ruiz, Esther (42)

Petrella, Ivan (42)

Cites to:

Lucas, Andre (165)

Shephard, Neil (119)

Bollerslev, Tim (99)

Reichlin, Lucrezia (93)

Harvey, Andrew (92)

Creal, Drew (81)

Engle, Robert (73)

Diebold, Francis (73)

Watson, Mark (72)

Giannone, Domenico (65)

Blasques, Francisco (42)

Main data

Where Siem Jan Koopman has published?

Journals with more than one article published# docs
Journal of Econometrics12
International Journal of Forecasting9
Journal of Business & Economic Statistics8
Journal of Applied Econometrics7
Computational Statistics & Data Analysis5
Journal of Financial Econometrics5
Journal of Applied Econometrics4
Statistica Neerlandica4
Journal of Time Series Analysis4
Journal of Empirical Finance4
Oxford Bulletin of Economics and Statistics3
Journal of Business & Economic Statistics3
Journal of the Royal Statistical Society Series A3
Biometrika3
Econometric Reviews3
The Review of Economics and Statistics3
Journal of Forecasting2
Journal of Economic Dynamics and Control2
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 Institute102
Working Paper Series / European Central Bank5
Computing in Economics and Finance 1999 / Society for Computational Economics2

Recent works citing Siem Jan Koopman (2021 and 2020)

YearTitle of citing document
2020On the Dependence between Default Risk and Recovery Rates in Structural Models. (2020). Fermanian, Jean-David. In: Annals of Economics and Statistics. RePEc:adr:anecst:y:2020:i:140:p:45-82.

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2020Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving. (2020). Lu, Yang ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020016.

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2020Dynamic score driven independent component analysis. (2020). Hafner, Christian ; Herwartz, Helmut. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020031.

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2021Decoupling 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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2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2021A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

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

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2020Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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

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2020Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569.

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

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2020Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2021Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data. (2019). Bai, Jushan ; Ng, Serena. In: Papers. RePEc:arx:papers:1910.06677.

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2020Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273.

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

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

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

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

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

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2021Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

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

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

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

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2021Bridging the COVID-19 Data and the Epidemiological Model using Time Varying Parameter SIRD Model. (2020). Simsek, Yasin ; Cakmakli, Cem . In: Papers. RePEc:arx:papers:2007.02726.

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2020Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566.

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2020Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545.

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2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341.

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2020Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2020The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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2020Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2020A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2020High-frequency dynamics of the implied volatility surface. (2020). Baldacci, Bastien. In: Papers. RePEc:arx:papers:2012.10875.

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2020Filtering the intensity of public concern from social media count data with jumps. (2020). , Carlo ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2012.13267.

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2021Monitoring the pandemic: A fractional filter for the COVID-19 contact rate. (2021). Hartl, Tobias. In: Papers. RePEc:arx:papers:2102.10067.

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2021Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions. (2021). Ng, Serena ; Bai, Jushan ; Cahan, Ercument. In: Papers. RePEc:arx:papers:2103.03045.

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2021Modelling uncertainty in financial tail risk: a forecasting combination and weighted quantile approach. (2021). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2104.04918.

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2021Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:21-14.

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2021Networking the Yield Curve: Implications for Monetary Policy. (2021). Dahlhaus, Tatjana ; Schaumburg, Julia ; Sekhposyan, Tatevik. In: Staff Working Papers. RePEc:bca:bocawp:21-4.

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2020Spillover effects in international business cycles. (2020). Perez Quiros, Gabriel ; Pacce, Matías ; Camacho, Maximo ; Perez-Quiros, Gabriel. In: Working Papers. RePEc:bde:wpaper:2034.

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2021Labor Market Indicator for Colombia (LMI). (2021). Ramos-Veloza, Mario ; Hernandez-Bejarano, Manuel Dario ; Cristiano-Botia, Deicy J. In: Borradores de Economia. RePEc:bdr:borrec:1152.

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2020Seasonal adjustment of the Bank of Russia Payment System financial flows data. (2020). Tsvetkova, Anna ; Khabibullin, Ramis ; Turdyeva, Natalia ; Seleznev, Sergey. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps65.

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2020Bayesian estimation and model comparison for linear dynamic panel models with missing values. (2020). Aßmann, Christian ; Preising, Marcel. In: Australian & New Zealand Journal of Statistics. RePEc:bla:anzsta:v:62:y:2020:i:4:p:536-557.

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2020Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146.

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

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

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

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2020A Bayesian quest for finding a unified model for predicting volleyball games. (2020). Ntzoufras, Ioannis ; Egidi, Leonardo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:5:p:1307-1336.

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2020Backtesting portfolio value‐at‐risk with estimated portfolio weights. (2020). Pei, Pei ; Du, Zaichao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:605-619.

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2020A family of multivariate non‐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.

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2020Measuring the Financial Cycle in South Africa. (2020). Farrell, Greg ; Kemp, Esti. In: South African Journal of Economics. RePEc:bla:sajeco:v:88:y:2020:i:2:p:123-144.

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2020The United Kingdom and the stability of the Euro area: From Maastricht to Brexit. (2020). Macchiarelli, Corrado ; Campos, Nauro. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:7:p:1792-1808.

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

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2020Dynamic Bayesian forecasting of English Premier League match results with the Skellam distribution. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Smit, Robert C. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps72.

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2020Can Alternative Data Improve the Accuracy of Dynamic Factor Model Nowcasts?. (2020). Cristea, R G. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20108.

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2021Testing and Modelling Time Series with Time Varying Tails. (2021). Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2111.

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2021Regime switching models for directional and linear observations. (2021). Palumbo, D ; Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2123.

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2021Score-driven time series models. (2021). Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2133.

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2020Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters. (2020). Reif, Magnus ; Heinrich, Markus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8054.

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2020Shocks, Frictions, and Inequality in US Business Cycles. (2020). Born, Benjamin ; Bayer, Christian ; Luetticke, Ralph. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8085.

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2020The Liquidity Channel of Fiscal Policy. (2020). Luetticke, Ralph ; Born, Benjamin ; Bayer, Christian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8374.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2020Shocks, Frictions, and Inequality in US Business Cycles. (2020). Luetticke, Ralph ; Born, Benjamin ; Bayer, Christian. In: Discussion Papers. RePEc:cfm:wpaper:2003.

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2020Estimation of the Financial Cycle with a Rank-Reduced Multivariate State-Space Model. (2020). Luginbuhl, Rob. In: CPB Discussion Paper. RePEc:cpb:discus:409.rdf.

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2020Shocks, Frictions, and Inequality in US Business Cycles. (2020). Luetticke, Ralph ; Born, Benjamin ; Bayer, Christian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14364.

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2020Prediction accuracy of bivariate score-driven risk premium and volatility filters: an illustration for the Dow Jones. (2020). Blazsek, Szabolcs ; Licht, Adrian ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:31339.

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2021Integrated nested Laplace approximations for threshold stochastic volatility models. (2021). Rue, Havard ; Lopes, Maria Helena ; de Zea, P ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31804.

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2021Dynamic factor models: does the specification matter?. (2021). Poncela, Pilar ; Ortega, Esther Ruiz ; Miranda, Karen Alejandra. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32210.

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2020Worker Flows and Occupations in the CPS 1976-2010: A Framework for Adjusting the Data. (2020). Ounnas, Alexandre. In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales). RePEc:ctl:louvir:2020008.

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2020Worker Flows, Occupations and the Dynamics of Unemployment and Labor Force Participation. (2020). Ounnas, Alexandre. In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales). RePEc:ctl:louvir:2020009.

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2020Monetary policy and the term structure of Inflation expectations with information frictions. (2020). McNeil, James. In: Working Papers. RePEc:dal:wpaper:daleconwp2020-07.

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2020Natural Rate Chimera and Bond Pricing Reality. (2020). Brand, Claus ; Lemke, Wolfgang ; Goy, Gavin. In: DNB Working Papers. RePEc:dnb:dnbwpp:666.

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2021Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank. (2002). Camba-Mendez, Gonzalo ; Hirsch, A. ; Cabrero, A.. In: Working Paper Series. RePEc:ecb:ecbwps:20020142.

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2020Price dividend ratio and long-run stock returns: a score driven state space model. (2020). Petrella, Ivan ; Delle Monache, Davide ; Venditti, Fabrizio. In: Working Paper Series. RePEc:ecb:ecbwps:20202369.

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2020Density forecast combinations: the real-time dimension. (2020). Warne, Anders ; McAdam, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20202378.

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2020Nowcasting with large Bayesian vector autoregressions. (2020). Sokol, Andrej ; Giannone, Domenico ; Cimadomo, Jacopo ; Monti, Francesca ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20202453.

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2020Spillover effects in international business cycles. (2020). Pacce, Matías ; Camacho, Maximo ; Perez-Quiros, Gabriel. In: Working Paper Series. RePEc:ecb:ecbwps:20202484.

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2021A multivariate unobserved components model to estimate potential output in the euro area: a production function based approach. (2021). Toth, Mate. In: Working Paper Series. RePEc:ecb:ecbwps:20212523.

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2021Modeling extreme events: time-varying extreme tail shape. (2021). Zhang, Xin ; Schwaab, Bernd ; Lucas, Andre. In: Working Paper Series. RePEc:ecb:ecbwps:20212524.

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2021Networking the yield curve: implications for monetary policy. (2021). Dalhaus, Tatjana ; Sekhposyan, Tatevik ; Schaumburg, Julia. In: Working Paper Series. RePEc:ecb:ecbwps:20212532.

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2021Volatility Forecasting using Hybrid GARCH Neural Network Models: The Case of the Italian Stock Market. (2021). Dritsakis, Nikolaos ; Mademlis, Dimitrios Kartsonakis. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2021-01-5.

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2020Daily tourism volume forecasting for tourist attractions. (2020). Li, Hui ; Liu, Yang ; Bi, Jian-Wu. In: Annals of Tourism Research. RePEc:eee:anture:v:83:y:2020:i:c:s0160738320300670.

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2020Sparse modeling approach for identifying the dominant factors affecting situation-dependent hourly electricity demand. (2020). Hayashida, Motonari ; Kabe, Satoshi ; Fujimoto, YU ; Kaneko, Nanae. In: Applied Energy. RePEc:eee:appene:v:265:y:2020:i:c:s0306261920302646.

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2021Multivariate probabilistic forecasting and its performance’s impacts on long-term dispatch of hydro-wind hybrid systems. (2021). Wu, Xinyu ; Shen, Jianjian ; Li, Gang ; Cao, Rui ; Cheng, Chuntian ; Zhang, YI. In: Applied Energy. RePEc:eee:appene:v:283:y:2021:i:c:s0306261920316378.

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2020Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach. (2020). Yang, Lu ; Hamori, Shigeyuki ; Ho, Kung-Cheng. In: Journal of Asian Economics. RePEc:eee:asieco:v:68:y:2020:i:c:s1049007820300440.

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2020The effect of return jumps on herd behavior. (2020). Wanidwaranan, Phasin ; Padungsaksawasdi, Chaiyuth. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020300599.

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2020The origin of collective phenomena in firm sizes. (2020). Ahn, Kwangwon ; Park, Sung-Pil ; Dai, Bingcun ; Ji, Guseon. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:136:y:2020:i:c:s0960077920302186.

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2020Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method. (2020). Spezia, Luigi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:143:y:2020:i:c:s0167947319301951.

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2021An algorithm for non-parametric estimation in state–space models. (2021). Ailliot, Pierre ; Trang, Thi Tuyet ; Monbet, Valerie. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301535.

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2020Co-existence of trend and value in financial markets: Estimating an extended Chiarella model. (2020). Bouchaud, Jean-Philippe ; Ciliberti, Stefano ; Majewski, Adam A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188919301885.

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2020The failure of stabilization policy: Balanced-budget fiscal rules in the presence of incompressible public expenditures. (2020). Abad, Nicolas ; Modesto, Leonor ; Lloyd-Braga, Teresa. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301640.

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2020Financialization of agricultural commodities: Evidence from China. (2020). Ouyang, Ruolan ; Zhang, Xuan. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:381-389.

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2020Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis. (2020). Pochea, Maria Miruna ; Nioi, Mihai. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:133-147.

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2020Economic policy uncertainty and the Chinese stock market volatility: Novel evidence. (2020). Zhang, Yaojie ; Ma, Feng ; Li, Tao. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:24-33.

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2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

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2020Smoothing and forecasting mixed-frequency time series with vector exponential smoothing models. (2020). Seong, Byeongchan . In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:463-468.

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2020Collateral rehypothecation, safe asset scarcity, and unconventional monetary policy. (2020). Giri, Federico ; Gallegati, Mauro ; Grilli, Ruggero. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:633-645.

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2020Financial cycles in asset markets and regions. (2020). Beirne, John. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:358-374.

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2020The People’s bank of China’s response to the coronavirus pandemic: A quantitative assessment. (2020). Funke, Michael ; Tsang, Andrew. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:465-473.

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2021Mixed-frequency SV model for stock volatility and macroeconomics. (2021). Zheng, Tingguo ; Shang, Yuhuang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:462-472.

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2020Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Wohar, Mark E ; Adewuyi, Adeolu O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305497.

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

Siem Jan Koopman has edited the books:

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Works by Siem Jan Koopman:

YearTitleTypeCited
2007Long memory modelling of inflation with stochastic variance and structural breaks In: CREATES Research Papers.
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2007Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks.(2007) In: Tinbergen Institute Discussion Papers.
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2009Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates In: CREATES Research Papers.
[Full Text][Citation analysis]		paper8
2014SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES.(2014) In: Journal of Applied Econometrics.
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2019Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2020A statistical model of the global carbon budget In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers.
[Full Text][Citation analysis]		paper4
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models *.(2016) In: Working Papers.
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2007Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article113
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: 113		paper
1992Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article145
1997The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article35
2004State Space Models With a Common Stochastic Variance In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article10
2006Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article43
2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article35
2008A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article21
2005A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: DNB Working Papers.
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2005A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: Tinbergen Institute Discussion Papers.
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2010Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article49
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article100
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2011) In: Journal of Business & Economic Statistics.
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2010A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2010) In: Tinbergen Institute Discussion Papers.
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2010Common business and housing market cycles in the Euro area from a multivariate decomposition. In: Working papers.
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2008Model‐based measurement of latent risk in time series with applications In: Journal of the Royal Statistical Society Series A.
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2005Model-based Measurement of Latent Risk in Time Series with Applications.(2005) In: Tinbergen Institute Discussion Papers.
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2015A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article17
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: 17		paper
2019The 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]		article0
2000Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article76
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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1998Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives.(1998) In: Other publications TiSEM.
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2009Seasonality with trend and cycle interactions in unobserved components models In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]		article5
2008Seasonality with Trend and Cycle Interactions in Unobserved Components Models.(2008) In: Tinbergen Institute Discussion Papers.
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2010Multivariate non‐linear time series modelling of exposure and risk in road safety research In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]		article4
2000Fast Filtering and Smoothing for Multivariate State Space Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article16
1998Fast Filtering and Smoothing for Multivariate State Space Models.(1998) In: Discussion Paper.
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1998Fast Filtering and Smoothing for Multivariate State Space Models.(1998) In: Other publications TiSEM.
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2003Filtering and smoothing of state vector for diffuse state‐space models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article25
2010Likelihood functions for state space models with diffuse initial conditions In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article14
2008Likelihood Functions for State Space Models with Diffuse Initial Conditions.(2008) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 14		paper
2017Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article18
2014Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers.
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2002Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals In: Oxford Bulletin of Economics and Statistics.
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2001Constructing seasonally adjusted data with time-varying confidence intervals.(2001) In: Econometric Institute Research Papers.
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2008Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article32
2009Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* In: Oxford Bulletin of Economics and Statistics.
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2006Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment.(2006) In: Tinbergen Institute Discussion Papers.
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2002Discussion of ‘MCMC‐based inference’ by R. Paap In: Statistica Neerlandica.
[Full Text][Citation analysis]		article0
2003Time Series Modelling of Daily Tax Revenues In: Statistica Neerlandica.
[Full Text][Citation analysis]		article7
1999Time-Series Modelling of Daily Tax Revenues.(1999) In: Computing in Economics and Finance 1999.
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2001Time Series Modelling of Daily Tax Revenues.(2001) In: Tinbergen Institute Discussion Papers.
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2008Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model In: Statistica Neerlandica.
[Full Text][Citation analysis]		article0
2007Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model.(2007) In: Tinbergen Institute Discussion Papers.
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2019Modified efficient importance sampling for partially non‐Gaussian state space models In: Statistica Neerlandica.
[Full Text][Citation analysis]		article1
2004Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article8
1992Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper3
1995The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in Journal of Business and Economic Statistics, 15 (1997), pp.354-368.) In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper0
1996Multivariate Structural Time Series Models - (Now published in System Dynamics in Economic and Financial Models, CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997 In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper2
1997Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.) In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper0
2014Nowcasting and forecasting economic growth in the euro area using principal components In: DNB Working Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper24
2017Modeling the business and financial cycle in a multivariate structural time series model In: DNB Working Papers.
[Full Text][Citation analysis]		paper7
2011Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series.
[Full Text][Citation analysis]		paper28
2012Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 In: Working Paper Series.
[Full Text][Citation analysis]		paper27
2012Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008.(2012) In: Journal of Business & Economic Statistics.
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2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
[Full Text][Citation analysis]		paper41
2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers.
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2014Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics.
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2016The information in systemic risk rankings In: Working Paper Series.
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2016The information in systemic risk rankings.(2016) In: Journal of Empirical Finance.
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2015The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers.
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2016Global credit risk: world country and industry factors In: Working Paper Series.
[Full Text][Citation analysis]		paper12
2015Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers.
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2017Global Credit Risk: World, Country and Industry Factors.(2017) In: Journal of Applied Econometrics.
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2004Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper19
2003Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices.(2003) In: Tinbergen Institute Discussion Papers.
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2000Computing Observation Weights for Signal Extraction and Filtering In: Econometric Society World Congress 2000 Contributed Papers.
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2003Computing observation weights for signal extraction and filtering.(2003) In: Journal of Economic Dynamics and Control.
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1999Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal.
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1998Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Discussion Paper.
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1998Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 179		paper
2000Signal extraction and the formulation of unobserved components models In: Econometrics Journal.
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1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper.
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1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 51		paper
2006Forecasting daily time series using periodic unobserved components time series models In: Computational Statistics & Data Analysis.
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2004Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models.(2004) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 9		paper
2006Special Issue on Nonlinear Modelling and Financial Econometrics In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article3
2010Exact maximum likelihood estimation for non-stationary periodic time series models In: Computational Statistics & Data Analysis.
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2012Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling In: Computational Statistics & Data Analysis.
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2014Long memory with stochastic variance model: A recursive analysis for US inflation In: Computational Statistics & Data Analysis.
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2011Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control.
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2011Maximum likelihood estimation for dynamic factor models with missing data.(2011) In: Post-Print.
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2016Intervention time series analysis of crime rates: The case of sentence reform in Virginia In: Economic Modelling.
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2016Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area In: Economics Letters.
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2016Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area.(2016) In: Tinbergen Institute Discussion Papers.
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2008The multi-state latent factor intensity model for credit rating transitions In: Journal of Econometrics.
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2005The Multi-State Latent Factor Intensity Model for Credit Rating Transitions.(2005) In: Tinbergen Institute Discussion Papers.
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2009Testing the assumptions behind importance sampling In: Journal of Econometrics.
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2011Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics.
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2014Generalized dynamic panel data models with random effects for cross-section and time In: Journal of Econometrics.
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2014Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time.(2014) In: Tinbergen Institute Discussion Papers.
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2016Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics.
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2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
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2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers.
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2014Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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2019Accelerating score-driven time series models In: Journal of Econometrics.
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2020Long-term forecasting of El Niño events via dynamic factor simulations In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2020The dynamic factor network model with an application to international trade In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2020Partially censored posterior for robust and efficient risk evaluation In: Journal of Econometrics.
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2019Partially Censored Posterior for Robust and Efficient Risk Evaluation.(2019) In: Tinbergen Institute Discussion Papers.
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1997Detecting shocks: Outliers and breaks in time series In: Journal of Econometrics.
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1998Estimation of stochastic volatility models via Monte Carlo maximum likelihood In: Journal of Econometrics.
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2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements In: Journal of Empirical Finance.
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2004Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements.(2004) In: Computing in Economics and Finance 2004.
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2004Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements.(2004) In: Tinbergen Institute Discussion Papers.
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2009Credit cycles and macro fundamentals In: Journal of Empirical Finance.
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2006Credit Cycles and Macro Fundamentals.(2006) In: Tinbergen Institute Discussion Papers.
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2006Credit cycles and macro fundamentals.(2006) In: CFS Working Paper Series.
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2014Long memory dynamics for multivariate dependence under heavy tails In: Journal of Empirical Finance.
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2011Long Memory Dynamics for Multivariate Dependence under Heavy Tails.(2011) In: Tinbergen Institute Discussion Papers.
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2008An hourly periodic state space model for modelling French national electricity load In: International Journal of Forecasting.
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2008An Hourly Periodic State Space Model for Modelling French National Electricity Load.(2008) In: Tinbergen Institute Discussion Papers.
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2010Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments In: International Journal of Forecasting.
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2013Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model In: International Journal of Forecasting.
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2011Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model.(2011) In: Tinbergen Institute Discussion Papers.
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2014Forecasting macroeconomic variables using collapsed dynamic factor analysis In: International Journal of Forecasting.
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2012Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis.(2012) In: Tinbergen Institute Discussion Papers.
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2014Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting.
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2016In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models In: International Journal of Forecasting.
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2015In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models.(2015) In: Tinbergen Institute Discussion Papers.
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2016Forecasting and nowcasting economic growth in the euro area using factor models In: International Journal of Forecasting.
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2019Forecasting football match results in national league competitions using score-driven time series models In: International Journal of Forecasting.
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2017Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models.(2017) In: Tinbergen Institute Discussion Papers.
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2019Forecasting economic time series using score-driven dynamic models with mixed-data sampling In: International Journal of Forecasting.
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2018Forecasting economic time series using score-driven dynamic models with mixed-data sampling.(2018) In: Tinbergen Institute Discussion Papers.
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2005Empirical credit cycles and capital buffer formation In: Journal of Banking & Finance.
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2016The dynamic factor network model with an application to global credit risk In: Working Papers.
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2016The Dynamic Factor Network Model with an Application to Global Credit-Risk.(2016) In: Tinbergen Institute Discussion Papers.
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1996Maximum Likelihood Estimation of Stochastic Volatility Models In: FMG Discussion Papers.
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2009A General Framework for Observation Driven Time-Varying Parameter Models In: Global COE Hi-Stat Discussion Paper Series.
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2008A General Framework for Observation Driven Time-Varying Parameter Models.(2008) In: Tinbergen Institute Discussion Papers.
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2002The stochastic volatility in mean model: empirical evidence from international stock markets In: Journal of Applied Econometrics.
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2002The stochastic volatility in mean model: empirical evidence from international stock markets.(2002) In: Journal of Applied Econometrics.
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2004Convergence in European GDP series: a multivariate common converging trend-cycle decomposition In: Journal of Applied Econometrics.
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2005Business and default cycles for credit risk In: Journal of Applied Econometrics.
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2003Business and Default Cycles for Credit Risk.(2003) In: Tinbergen Institute Discussion Papers.
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2010Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter In: Journal of Applied Econometrics.
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2008Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter.(2008) In: Working Papers.
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2012Economic Trends and Cycles in Crime: A Study for England and Wales In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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2006A non-Gaussian generalization of the Airline model for robust seasonal adjustment In: Journal of Forecasting.
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2011Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra In: Journal of Forecasting.
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2011Statistical Software for State Space Methods In: Journal of Statistical Software.
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2012Regime switches in the volatility and correlation of financial institutions In: Working Paper Research.
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2017Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting In: NBP Working Papers.
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2002Testing the Assumptions Behind the Use of Importance Sampling In: Economics Papers.
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2015Information-theoretic optimality of observation-driven time series models for continuous responses In: Biometrika.
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2018Amendments and Corrections In: Biometrika.
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2007Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models In: Biometrika.
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2012Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing In: Journal of Financial Econometrics.
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2009Spot Variance Path Estimation and its Application to High Frequency Jump Testing.(2009) In: Tinbergen Institute Discussion Papers.
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2012The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures In: Journal of Financial Econometrics.
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2011The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures.(2011) In: Tinbergen Institute Discussion Papers.
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2017Testing for Parameter Instability across Different Modeling Frameworks In: Journal of Financial Econometrics.
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2018Bayesian Dynamic Modeling of High-Frequency Integer Price Changes In: Journal of Financial Econometrics.
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2018Bayesian Dynamic Modeling of High-Frequency Integer Price Changes.(2018) In: Tinbergen Institute Discussion Papers.
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