28
H index
57
i10 index
3324
Citations
Siem Jan Koopman : Citation Profile
Vrije Universiteit Amsterdam (90% share) | RESEARCH PRODUCTION: 93 Articles 139 Papers 3 Books EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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27 years (1992 - 2019). 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 | 97 |
| Working Paper Series / European Central Bank | 5 |
| Computing in Economics and Finance 1999 / Society for Computational Economics | 2 |
Recent works citing Siem Jan Koopman (2019 and 2018)
| Year | Title of citing document | |
|---|---|---|
| 2018 | A Parametric Factor Model of the Term Structure of Mortality. (2018). , Carsten ; Haldrup, Niels. In: CREATES Research Papers. RePEc:aah:create:2018-06. Full description at Econpapers || Download paper | |
| 2018 | State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering. (2018). Yang, Yukai ; Bauwens, Luc. In: CREATES Research Papers. RePEc:aah:create:2018-30. Full description at Econpapers || Download paper | |
| 2018 | A mixed-frequency Bayesian vector autoregression with a steady-state prior. (2018). Yang, Yukai ; Ankargren, Sebastian ; Unosson, Mns. In: CREATES Research Papers. RePEc:aah:create:2018-32. Full description at Econpapers || Download paper | |
| 2019 | Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:07-19. Full description at Econpapers || Download paper | |
| 2018 | Measuring the Natural Rates of Interest in Germany and Italy. (2018). Bystrov, Victor ; Victor, Bystrov. In: Lodz Economics Working Papers. RePEc:ann:wpaper:7/2018. Full description at Econpapers || Download paper | |
| 2018 | Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia. (2018). Fan, Jianqing ; Liao, Yuan ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041. Full description at Econpapers || Download paper | |
| 2018 | Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520. Full description at Econpapers || Download paper | |
| 2019 | A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643. Full description at Econpapers || Download paper | |
| 2018 | Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Ravazzolo, Francesco ; Rossini, Luca ; Gianfreda, Angelica. In: Papers. RePEc:arx:papers:1801.01093. Full description at Econpapers || Download paper | |
| 2018 | Synthetic Control Methods and Big Data. (2018). Kinn, Daniel. In: Papers. RePEc:arx:papers:1803.00096. Full description at Econpapers || Download paper | |
| 2019 | A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2018). Buccheri, Giuseppe ; Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1803.04894. Full description at Econpapers || Download paper | |
| 2018 | Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization. (2018). White, Alan. In: Papers. RePEc:arx:papers:1803.07843. Full description at Econpapers || Download paper | |
| 2018 | A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Wang, Chao ; Chen, Qian ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1807.02422. Full description at Econpapers || Download paper | |
| 2018 | Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model. (2018). Majewski, Adam ; Bouchaud, Jean-Philippe ; Ciliberti, Stefano. In: Papers. RePEc:arx:papers:1807.11751. Full description at Econpapers || Download paper | |
| 2018 | A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach. (2018). Santos, T R. In: Papers. RePEc:arx:papers:1809.01489. Full description at Econpapers || Download paper | |
| 2019 | Transmission of Macroeconomic Shocks to Risk Parameters: Their uses in Stress Testing. (2018). Rojas, Helder ; Dias, David. In: Papers. RePEc:arx:papers:1809.07401. Full description at Econpapers || Download paper | |
| 2018 | Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations. (2018). Pfeuffer, Marius ; Smith, Greig ; Reis, Goncalo Dos . In: Papers. RePEc:arx:papers:1809.09889. Full description at Econpapers || Download paper | |
| 2019 | Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2018). Yamauchi, Yuta ; Omori, Yasuhiro. In: Papers. RePEc:arx:papers:1809.09928. Full description at Econpapers || Download paper | |
| 2018 | A new time-varying model for forecasting long-memory series. (2018). Bisaglia, Luisa ; Grigoletto, Matteo. In: Papers. RePEc:arx:papers:1812.07295. Full description at Econpapers || Download paper | |
| 2018 | 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 | |
| 2019 | Approximate State Space Modelling of Unobserved Fractional Components. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142. Full description at Econpapers || Download paper | |
| 2019 | Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149. Full description at Econpapers || Download paper | |
| 2019 | Dynamic Tail Inference with Log-Laplace Volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419. Full description at Econpapers || Download paper | |
| 2019 | Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961. Full description at Econpapers || Download paper | |
| 2019 | Forecasting securitys volatility using low-frequency historical data, high-frequency historical data and option-implied volatility. (2019). Cui, Xiangyu ; Zhang, Zhiyuan ; Zhou, Yong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:1907.02666. Full description at Econpapers || Download paper | |
| 2019 | Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo . In: Papers. RePEc:arx:papers:1908.04569. Full description at Econpapers || Download paper | |
| 2019 | Measuring international uncertainty using global vector autoregressions with drifting parameters. (2019). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:1908.06325. Full description at Econpapers || Download paper | |
| 2019 | Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Pedio, Manuela ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106. Full description at Econpapers || Download paper | |
| 2018 | Dependence of Structural Breaks in Rating Transition Dynamics on Economic and Market Variations. (2018). Xing, Haipeng ; Chen, Ying. In: Review of Economics & Finance. RePEc:bap:journl:180101. Full description at Econpapers || Download paper | |
| 2018 | Measuring Retail Trade Using Card Transactional Data. (2018). GarcÃa López, Juan ; Valero, Heribert ; Ulloa, Camilo ; Ruiz, Pep ; de Dios, Juan ; Rodrigo, Tomasa ; Pacce, Matias ; Murillo, Juan ; Garcia, Juan Ramon ; Bodas, Diego. In: Working Papers. RePEc:bbv:wpaper:1803. Full description at Econpapers || Download paper | |
| 2018 | State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14. Full description at Econpapers || Download paper | |
| 2019 | Labor Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16. Full description at Econpapers || Download paper | |
| 2019 | Measuring credit-to-gdp gaps. The hodrick-prescott filter revisited. (2019). Galan, Jorge. In: Occasional Papers. RePEc:bde:opaper:1906. Full description at Econpapers || Download paper | |
| 2018 | Empirical assessment of alternative structural methods for identifying cyclical systemic risk in Europe. (2018). Mencia, Javier ; Galan, Jorge E. In: Working Papers. RePEc:bde:wpaper:1825. Full description at Econpapers || Download paper | |
| 2019 | Fluctuations in Global Macro Volatility. (2019). Leiva-Leon, Danilo ; Ductor, Lorenzo. In: Working Papers. RePEc:bde:wpaper:1925. Full description at Econpapers || Download paper | |
| 2018 | A Survey of Systemic Risk Indicators. (2018). Di Cesare, Antonio ; Picco, Anna Rogantini . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_458_18. Full description at Econpapers || Download paper | |
| 2018 | Short term forecasts of economic activity: are fortnightly factors useful?. (2018). Monteforte, Libero ; Raponi, Valentina . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1177_18. Full description at Econpapers || Download paper | |
| 2019 | ¿Cómo y qué tanto impacta la deuda pública a las tasas de interés de mercado?. (2019). Rincon-Castro, Hernan ; Ardila-Dueas, Carlos David. In: Borradores de Economia. RePEc:bdr:borrec:1077. Full description at Econpapers || Download paper | |
| 2019 | Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: BIS Working Papers. RePEc:bis:biswps:766. Full description at Econpapers || Download paper | |
| 2018 | Systemic Risk and Financial Fragility in the Chinese Economy: A Dynamic Factor Model Approach. (2018). Vasilenko, Alexey. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps30. Full description at Econpapers || Download paper | |
| 2018 | Quantifying Impacts of Macroeconomic and Non†economic Factors on Public Health Expenditure: A Structural Time Series Model. (2018). Dauda, Risikat ; Tajudeen, Ibrahim A. In: African Development Review. RePEc:bla:afrdev:v:30:y:2018:i:2:p:200-218. Full description at Econpapers || Download paper | |
| 2018 | DOES THE GREAT RECESSION IMPLY THE END OF THE GREAT MODERATION? INTERNATIONAL EVIDENCE. (2018). Darné, Olivier ; Charles, Amlie ; Ferrara, Laurent ; Darne, Olivier. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:745-760. Full description at Econpapers || Download paper | |
| 2018 | DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS. (2018). Prigent, Jean-Luc ; Karaa, Adel ; ben Ayed, Myriam. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:3:p:1870-1886. Full description at Econpapers || Download paper | |
| 2018 | A Rotated Dynamic Nelson†Siegel Model. (2018). Nyholm, Ken. In: Economic Notes. RePEc:bla:ecnote:v:47:y:2018:i:1:p:113-124. Full description at Econpapers || Download paper | |
| 2018 | FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334. Full description at Econpapers || Download paper | |
| 2017 | A space–time multivariate Bayesian model to analyse road traffic accidents by severity. (2017). Boulieri, Areti ; Blangiardo, Marta ; Hoogh, Kees ; Liverani, Silvia . In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:180:y:2017:i:1:p:119-139. Full description at Econpapers || Download paper | |
| 2017 | Volatility Modeling with a Generalized t Distribution. (2017). Rao, Tata Subba ; Lange, Rutger-Jan ; Harvey, Andrew ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:175-190. Full description at Econpapers || Download paper | |
| 2018 | Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919. Full description at Econpapers || Download paper | |
| 2019 | Has the 2008 financial crisis and its aftermath changed the impact of inflation on inflation uncertainty in member states of the european monetary union?. (2019). Nonejad, Nima. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:66:y:2019:i:2:p:246-276. Full description at Econpapers || Download paper | |
| 2018 | Forecasting aggregate claims using score‐driven time series models. (2018). Arozo, Mariana ; Eduardo, . In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:3:p:354-374. Full description at Econpapers || Download paper | |
| 2018 | Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica. In: Working Papers. RePEc:bny:wpaper:0060. Full description at Econpapers || Download paper | |
| 2018 | Predicting the Volatility of Cryptocurrency Time–Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: Working Papers. RePEc:bny:wpaper:0061. Full description at Econpapers || Download paper | |
| 2018 | Forecasting Cryptocurrencies Financial Time Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: Working Papers. RePEc:bny:wpaper:0063. Full description at Econpapers || Download paper | |
| 2018 | Business cycle narratives. (2018). Thorsrud, Leif ; Larsen, Vegard. In: Working Papers. RePEc:bny:wpaper:0064. Full description at Econpapers || Download paper | |
| 2018 | State Space Models with Endogenous Regime Switching. (2018). Tan, Fei ; Chang, Yoosoon ; Maih, Junior. In: Working Papers. RePEc:bny:wpaper:0067. Full description at Econpapers || Download paper | |
| 2018 | International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach. (2018). Cross, Jamie L ; Poon, Aubrey ; Hou, Chenghan. In: Working Papers. RePEc:bny:wpaper:0070. Full description at Econpapers || Download paper | |
| 2018 | Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:953. Full description at Econpapers || Download paper | |
| 2018 | Mortgages: estimating default correlation and forecasting default risk. (2018). Neumann, Tobias. In: Bank of England working papers. RePEc:boe:boeewp:0708. Full description at Econpapers || Download paper | |
| 2019 | The direction and intensity of China’s monetary policy conduct : A dynamic factor modelling approach. (2019). Funke, Michael ; Tsang, Andrew. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2019_008. Full description at Econpapers || Download paper | |
| 2018 | Testing the systemic risk differences in banks. (2018). Jokivuolle, Esa ; Vioto, Davide ; Tunaru, Radu. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_013. Full description at Econpapers || Download paper | |
| 2019 | Think again: volatility asymmetry and volatility persistence. (2019). Thomas, Dimpfl ; Dirk, Baur. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:19:n:4. Full description at Econpapers || Download paper | |
| 2018 | A Stochastic Latent Moment Model for Electricity Price Formation. (2018). Gianfreda, Angelica ; Bunn, Derek. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps46. Full description at Econpapers || Download paper | |
| 2019 | Score-Driven Models for Realized Volatility. (2019). Palumbo, D ; Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1950. Full description at Econpapers || Download paper | |
| 2019 | Modeling directional (circular) time series. (2019). Thiele, S ; Hurn, S ; Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1971. Full description at Econpapers || Download paper | |
| 2018 | Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?. (2018). Chamon, Marcos ; Trebesch, Christoph ; Schumacher, Julian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7137. Full description at Econpapers || Download paper | |
| 2018 | Persistence in the Russian Stock Market Volatility Indices. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tripathy, Trilochan ; Maria, Caporale Guglielmo . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7243. Full description at Econpapers || Download paper | |
| 2017 | Normality Tests for Latent Variables. (2017). Sentana, Enrique ; Amengual, Dante ; Almuzara, Tincho. In: Working Papers. RePEc:cmf:wpaper:wp2017_1708. Full description at Econpapers || Download paper | |
| 2017 | Normality Tests for Latent Variables. (2017). Almuzara, Tincho ; Sentana, Enrique ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2018_1708. Full description at Econpapers || Download paper | |
| 2018 | Structural Scenario Analysis with SVARs. (2018). Petrella, Ivan ; Antolin-Diaz, Juan ; Rubio-Ramirez, Juan Francisco . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12579. Full description at Econpapers || Download paper | |
| 2018 | ECB interventions in distressed sovereign debt markets: The case of Greek bonds. (2018). Trebesch, Christoph ; Zettelmeyer, Jeromin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12635. Full description at Econpapers || Download paper | |
| 2018 | Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?. (2018). Chamon, Marcos ; Trebesch, Christoph ; Schumacher, Julian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13020. Full description at Econpapers || Download paper | |
| 2017 | Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:6117. Full description at Econpapers || Download paper | |
| 2018 | Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:27483. Full description at Econpapers || Download paper | |
| 2018 | Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:27484. Full description at Econpapers || Download paper | |
| 2019 | Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28133. Full description at Econpapers || Download paper | |
| 2019 | Co-integration and common trends analysis with score-driven models : an application to US macroeconomic data. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:28451. Full description at Econpapers || Download paper | |
| 2019 | Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28638. Full description at Econpapers || Download paper | |
| 2017 | Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence. (2017). RodrÃguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; RodrÃÂguez Caballero, Carlos ; Rodriguez, Carlos Vladimir ; Ergemen, Yunus Emre . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24614. Full description at Econpapers || Download paper | |
| 2019 | Data cloning estimation for asymmetric stochastic volatility models. (2019). Veiga, Helena ; de Zea, Patricia ; Marin, Juan Miguel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28214. Full description at Econpapers || Download paper | |
| 2018 | Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions. (2018). Geraci, Marco Valerio ; Gnabo, Jean-Yves. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:53:y:2018:i:03:p:1371-1390_00. Full description at Econpapers || Download paper | |
| 2018 | Brexit and Uncertainty in Financial Markets. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trani, Tommaso. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1719. Full description at Econpapers || Download paper | |
| 2018 | The natural rate of interest from a monetary and financial perspective. (2018). de Haan, Leo ; End, Jan Willem ; Hindrayanto, Irma ; van den End, Jan Willem ; van Els, Peter ; Bonam, Dennis. In: DNB Occasional Studies. RePEc:dnb:dnbocs:1603. Full description at Econpapers || Download paper | |
| 2018 | Do information contagion and business model similarities explain bank credit risk commonalities?. (2018). Lelyveld, Iman ; Schaumburg, Julia ; van Lelyveld, Iman ; Wang, Dieter . In: DNB Working Papers. RePEc:dnb:dnbwpp:619. Full description at Econpapers || Download paper | |
| 2019 | Medium-term asymmetric fluctuations and EMU as an optimum currency area. (2019). Hessel, Jeroen . In: DNB Working Papers. RePEc:dnb:dnbwpp:644. Full description at Econpapers || Download paper | |
| 2019 | Equity Risk Premium and Time Horizon: what do the French secular data say ?. (2019). Prat, Georges ; le Bris, David. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-8. Full description at Econpapers || Download paper | |
| 2017 | Extreme Risk Value and Dependence Structure of the China Securities Index 300. (2017). CHONG, Terence Tai Leung ; Ding, Yue ; Pang, Tianxiao . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00292. Full description at Econpapers || Download paper | |
| 2017 | Predicting Advertising Volumes Using Structural Time Series Models: A Case Study. (2017). Dewenter, Ralf ; Heimeshoff, Ulrich. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00140. Full description at Econpapers || Download paper | |
| 2017 | Improved two-component tests in Beta-Skew-t-EGARCH models. (2017). Mller, Fernanda Maria ; Bayer, Fbio M. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00319. Full description at Econpapers || Download paper | |
| 2018 | Inflation and Relative Price Variability in Brazil: A Time-Varying Parameter Approach. (2018). da Silva, Cleomar Gomes ; Boaretto, Gilberto O. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00947. Full description at Econpapers || Download paper | |
| 2017 | Mutual Point-winning Probabilities (MPW): a New Performance Measure for Table Tennis. (2017). Ley, Christophe ; Dominicy, Yves. In: Working Papers ECARES. RePEc:eca:wpaper:2013/250695. Full description at Econpapers || Download paper | |
| 2018 | Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905. Full description at Econpapers || Download paper | |
| 2018 | Real and financial cycles in EU countries - Stylised facts and modelling implications. (2018). Welz, Peter ; Rots, Eyno ; Rünstler, Gerhard ; Perez Quiros, Gabriel ; Mandler, Martin ; Lozej, Matija ; Lequien, Matthieu ; Lenarčič, Črt ; Jaccard, Ivan ; Iskrev, Nikolay ; Guarda, Paolo ; Comunale, Mariarosaria ; Burlon, Lorenzo ; Buss, Ginters ; Balfoussia, Hiona ; Scharnagl, Michael ; Hindrayanto, Irma ; Rannenberg, Ansgar ; Haavio, Markus ; Perez-Quiros, Gabriel ; Pedersen, Jesper ; Dewachter, Hans ; Papageorgiou, Dimitris ; de Backer, Bruno ; Runstler, Gerhard ; Lenarcic, Crt ; Kunovac, Davor ; Kulikov, Dmitry . In: Occasional Paper Series. RePEc:ecb:ecbops:2018205. Full description at Econpapers || Do | |
| 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 | 2 |
| 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 another version. Agregated cites: 2 | 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 | 1 |
| 2016 | Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models *.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2007 | Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 107 |
| 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 another version. Agregated cites: 107 | paper | |
| 1992 | Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 125 |
| 1997 | The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 31 |
| 2004 | State Space Models With a Common Stochastic Variance In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 9 |
| 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 | 38 |
| 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 | 31 |
| 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 | 20 |
| 2005 | A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: DNB Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 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 another version. Agregated cites: 20 | 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 | 46 |
| 2011 | A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 76 |
| 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 another version. Agregated cites: 76 | paper | |
| 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 another version. Agregated cites: 76 | article | |
| 2010 | Common business and housing market cycles in the Euro area from a multivariate decomposition. In: Working papers. [Full Text][Citation analysis] | paper | 9 |
| 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 another 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 | 9 |
| 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 another version. Agregated cites: 9 | paper | |
| 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 | 70 |
| 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 another version. Agregated cites: 70 | 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 | 5 |
| 2008 | Seasonality with Trend and Cycle Interactions in Unobserved Components Models.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | 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 | 7 |
| 1998 | Fast Filtering and Smoothing for Multivariate State Space Models.(1998) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2003 | Filtering and smoothing of state vector for diffuse state-space models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 22 |
| 2010 | Likelihood functions for state space models with diffuse initial conditions In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 11 |
| 2008 | Likelihood Functions for State Space Models with Diffuse Initial Conditions.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2017 | Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 11 |
| 2014 | Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2002 | Constructing Seasonally Adjusted Data with Time-Varying Confidence Intervals. In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 3 |
| 2001 | Constructing seasonally adjusted data with time-varying confidence intervals.(2001) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | 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 | 29 |
| 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 | 3 |
| 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 another version. Agregated cites: 3 | paper | |
| 2002 | Discussion of MCMC-based inference by R. Paap In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 0 |
| 2003 | Time Series Modelling of Daily Tax Revenues In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 7 |
| 1999 | Time-Series Modelling of Daily Tax Revenues.(1999) In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2001 | Time Series Modelling of Daily Tax Revenues.(2001) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2008 | Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 0 |
| 2007 | Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model.(2007) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2019 | Modified efficient importance sampling for partially non‐Gaussian state space models In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 0 |
| 2004 | Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 8 |
| 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 | 4 |
| 1995 | The 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] | paper | 0 |
| 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 | 3 |
| 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 |
| 2014 | Nowcasting and forecasting economic growth in the euro area using principal components In: DNB Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2016 | Measuring 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] | paper | 16 |
| 2017 | Modeling the business and financial cycle in a multivariate structural time series model In: DNB Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2011 | Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series. [Full Text][Citation analysis] | paper | 27 |
| 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 | 25 |
| 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 another version. Agregated cites: 25 | article | |
| 2013 | Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series. [Full Text][Citation analysis] | paper | 32 |
| 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 another version. Agregated cites: 32 | 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 another version. Agregated cites: 32 | article | |
| 2016 | The information in systemic risk rankings In: Working Paper Series. [Full Text][Citation analysis] | paper | 13 |
| 2016 | The information in systemic risk rankings.(2016) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
| 2015 | The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2016 | Global credit risk: world country and industry factors In: Working Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 2015 | Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2017 | Global Credit Risk: World, Country and Industry Factors.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | 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 another 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 | 49 |
| 2003 | Computing observation weights for signal extraction and filtering.(2003) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | article | |
| 1999 | Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal. [Citation analysis] | article | 169 |
| 1998 | Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 169 | paper | |
| 2000 | Signal extraction and the formulation of unobserved components models In: Econometrics Journal. [Citation analysis] | article | 46 |
| 1999 | Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
| 2006 | Forecasting daily time series using periodic unobserved components time series models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 9 |
| 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 another version. Agregated cites: 9 | 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 | 4 |
| 2014 | Long memory with stochastic variance model: A recursive analysis for US inflation In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 6 |
| 2011 | Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 32 |
| 2011 | Maximum likelihood estimation for dynamic factor models with missing data.(2011) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
| 2016 | Intervention time series analysis of crime rates: The case of sentence reform in Virginia In: Economic Modelling. [Full Text][Citation analysis] | article | 2 |
| 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 | 5 |
| 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 another version. Agregated cites: 5 | paper | |
| 2008 | The multi-state latent factor intensity model for credit rating transitions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 43 |
| 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 another version. Agregated cites: 43 | paper | |
| 2009 | Testing the assumptions behind importance sampling In: Journal of Econometrics. [Full Text][Citation analysis] | article | 17 |
| 2011 | Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics. [Full Text][Citation analysis] | article | 48 |
| 2014 | Generalized dynamic panel data models with random effects for cross-section and time In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
| 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 another version. Agregated cites: 3 | paper | |
| 2016 | Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2016 | Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 17 |
| 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 another version. Agregated cites: 17 | paper | |
| 2014 | Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| 1997 | Detecting shocks: Outliers and breaks in time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 17 |
| 1998 | Estimation of stochastic volatility models via Monte Carlo maximum likelihood In: Journal of Econometrics. [Full Text][Citation analysis] | article | 106 |
| 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 | 184 |
| 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 another version. Agregated cites: 184 | 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 another version. Agregated cites: 184 | paper | |
| 2009 | Credit cycles and macro fundamentals In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 43 |
| 2006 | Credit Cycles and Macro Fundamentals.(2006) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
| 2006 | Credit cycles and macro fundamentals.(2006) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
| 2014 | Long memory dynamics for multivariate dependence under heavy tails In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 14 |
| 2011 | Long Memory Dynamics for Multivariate Dependence under Heavy Tails.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
| 2008 | An hourly periodic state space model for modelling French national electricity load In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 34 |
| 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 another version. Agregated cites: 34 | 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 | 7 |
| 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 another version. Agregated cites: 7 | paper | |
| 2014 | Forecasting macroeconomic variables using collapsed dynamic factor analysis In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 16 |
| 2012 | Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis.(2012) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
| 2014 | Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
| 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 | 7 |
| 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 another version. Agregated cites: 7 | paper | |
| 2016 | Forecasting and nowcasting economic growth in the euro area using factor models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
| 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 | 0 |
| 2005 | Empirical credit cycles and capital buffer formation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 31 |
| 2016 | The dynamic factor network model with an application to global credit risk In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
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| 1996 | Maximum Likelihood Estimation of Stochastic Volatility Models In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
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| 2002 | The stochastic volatility in mean model: empirical evidence from international stock markets In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 66 |
| 2004 | Convergence in European GDP series: a multivariate common converging trend-cycle decomposition In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 29 |
| 2005 | Business and default cycles for credit risk In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 61 |
| 2003 | Business and Default Cycles for Credit Risk.(2003) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 61 | paper | |
| 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 | 2 |
| 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 another version. Agregated cites: 2 | 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 | 1 |
| 2011 | Kalman filtering and smoothing for model‐based signal extraction that depend on time‐varying spectra In: Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
| 2011 | Statistical Software for State Space Methods In: Journal of Statistical Software. [Full Text][Citation analysis] | article | 15 |
| 2012 | Regime switches in the volatility and correlation of financial institutions In: Working Paper Research. [Full Text][Citation analysis] | paper | 5 |
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| 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 | 24 |
| 2018 | Amendments and Corrections In: Biometrika. [Full Text][Citation analysis] | article | 0 |
| 2007 | Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models In: Biometrika. [Full Text][Citation analysis] | article | 13 |
| 2012 | Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 8 |
| 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 another version. Agregated cites: 8 | paper | |
| 2012 | The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 36 |
| 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 another version. Agregated cites: 36 | paper | |
| 2017 | Testing for Parameter Instability across Different Modeling Frameworks In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2018 | Bayesian Dynamic Modeling of High-Frequency Integer Price Changes In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Bayesian Dynamic Modeling of High-Frequency Integer Price Changes.(2018) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2019 | Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2016 | Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2001 | Time Series Analysis by State Space Methods In: OUP Catalogue. [Citation analysis] | book | 774 |
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| 2007 | An Introduction to State Space Time Series Analysis In: OUP Catalogue. [Citation analysis] | book | 50 |
| 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 another 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 | 0 |
| 1999 | Fast Estimation of Parameters in State Space Models In: Computing in Economics and Finance 1999. [Citation analysis] | paper | 0 |
| 2001 | Interaction between structural and cyclical shocks in production and employment In: Review of World Economics (Weltwirtschaftliches Archiv). [Full Text][Citation analysis] | article | 2 |
| 2013 | Modelling trigonometric seasonal components for monthly economic time series In: Applied Economics. [Full Text][Citation analysis] | article | 1 |
| 2010 | Modeling Trigonometric Seasonal Components for Monthly Economic Time Series.(2010) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2006 | Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models In: Econometric Reviews. [Full Text][Citation analysis] | article | 13 |
| 2016 | Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models In: Econometric Reviews. [Full Text][Citation analysis] | article | 4 |
| 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 another version. Agregated cites: 4 | paper | |
| 2017 | Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 1 |
| 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 another version. Agregated cites: 1 | paper | |
| 2015 | Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 6 |
| 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 another version. Agregated cites: 6 | 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 | 4 |
| 2002 | Stock Index Volatility Forecasting with High Frequency Data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2002 | Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 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 | 4 |
| 2003 | Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2003 | Intervention Time Series Analysis of Crime Rates In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Measuring Synchronisation and Convergence of Business Cycles In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 15 |
| 2005 | Model-based Measurement of Actual Volatility in High-Frequency Data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | On Importance Sampling for State Space Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 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 | 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 | 2 |
| 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 | 1 |
| 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 | 2 |
| 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 | 0 |
| 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 | 11 |
| 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 | 23 |
| 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 another version. Agregated cites: 23 | article | |
| 2012 | Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
| 2012 | Forecasting Interest Rates with Shifting Endpoints In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 17 |
| 2014 | Forecasting interest rates with shifting endpoints.(2014) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | article | |
| 2012 | A Forty Year Assessment of Forecasting the Boat Race In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Testing for Parameter Instability in Competing Modeling Frameworks In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Maximum Likelihood Estimation for Score-Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
| 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 | 1 |
| 2017 | Empirical Bayes Methods for Dynamic Factor Models.(2017) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | 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 | 13 |
| 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 | 4 |
| 2014 | Optimal Formulations for Nonlinear Autoregressive Processes In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
| 2014 | Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 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 | 1 |
| 2017 | Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models.(2017) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 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 | 3 |
| 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 | 2 |
| 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 | 1 |
| 2016 | Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 11 |
| 2017 | Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 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 | 0 |
| 2018 | Missing Observations in Observation-Driven Time Series Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Forecasting economic time series using score-driven dynamic models with mixed-data sampling In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | A Time-Varying Parameter Model for Local Explosions In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Bayesian Risk Forecasting for Long Horizons 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 |
| 1996 | Interaction between supply and demand in production and employment In: Serie Research Memoranda. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Likelihood‐based dynamic factor analysis for measurement and forecasting In: Econometrics Journal. [Full Text][Citation analysis] | article | 13 |
| 2002 | The stochastic volatility in mean model: empirical evidence from international stock markets In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 7 |
| 2013 | GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 175 |
| 2014 | SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 8 |
| 2018 | Dynamic discrete copula models for high‐frequency stock price changes In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 1 |
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