Siem Jan Koopman : Citation Profile


Are you Siem Jan Koopman?

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

25

H index

46

i10 index

2429

Citations

RESEARCH PRODUCTION:

79

Articles

127

Papers

3

Books

EDITOR:

3

Books edited

RESEARCH ACTIVITY:

   25 years (1992 - 2017). See details.
   Cites by year: 97
   Journals where Siem Jan Koopman has often published
   Relations with other researchers
   Recent citing documents: 327.    Total self citations: 133 (5.19 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pko46
   Updated: 2017-11-18    RAS profile: 2016-11-13    
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Relations with other researchers


Works with:

Lucas, Andre (37)

Blasques, Francisco (19)

Schwaab, Bernd (11)

Mesters, Geert (6)

Creal, Drew (4)

Wintenberger, Olivier (4)

Vujić, Sunčica (4)

Ooms, Marius (4)

Łasak, Katarzyna (3)

Galati, Gabriele (3)

de Winter, Jasper (3)

Bos, Charles (2)

van der Wel, Michel (2)

Hindrayanto, Irma (2)

Schaumburg, Julia (2)

Bräuning, Falk (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 (104)

Proietti, Tommaso (82)

Harvey, Andrew (63)

McAleer, Michael (47)

Asai, Manabu (45)

Schwaab, Bernd (44)

Zhang, Xin (41)

Shephard, Neil (33)

Catania, Leopoldo (31)

Ruiz, Esther (30)

Delle Monache, Davide (28)

Cites to:

Lucas, Andre (133)

Shephard, Neil (89)

Bollerslev, Tim (81)

Harvey, Andrew (77)

Reichlin, Lucrezia (71)

Engle, Robert (67)

Diebold, Francis (61)

Creal, Drew (58)

Watson, Mark (57)

Giannone, Domenico (44)

Duffie, Darrell (30)

Main data


Where Siem Jan Koopman has published?


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

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

Recent works citing Siem Jan Koopman (2017 and 2016)


YearTitle of citing document
2016A generalized exponential time series regression model for electricity prices. (2016). Proietti, Tommaso ; Haldrup, Niels ; Knapik, Oskar . In: CREATES Research Papers. RePEc:aah:create:2016-08.

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2016A Dynamic Multi-Level Factor Model with Long-Range Dependence. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Ergemen, Yunus Emre ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-23.

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

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

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

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

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2016State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2016). Uzeda, Luis . In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2016-632.

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

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2016Measures of variance for smoothed disturbances in linear state-space models: a clarification. (2016). Pelagatti, Matteo ; Lucchetti, Riccardo (Jack) ; Cottrell, Allin . In: gretl working papers. RePEc:anc:wgretl:3.

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2016EXTERNAL CAPITAL FLOWS’ MANAGEMENT IN THE GREAT RECESSION: THE BRAZILIAN EXPERIENCE (2007-2013). (2016). Cunha, Andre Moreira ; van der Laan, Cesar R ; Tadeu, Marcos . In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:035.

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2016High Dimensional Factor Models: An Empirical Bayes Approach. (2016). Sampi, James. In: Working Papers. RePEc:apc:wpaper:2016-075.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:1504.03733.

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2016Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:1601.05199.

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2016Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2016Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2016Robust Factor Models with Explanatory Proxies. (2016). Fan, Jianqing ; Liao, Yuan ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

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2016Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models. (2016). Catania, Leopoldo ; Nonejad, Nima . In: Papers. RePEc:arx:papers:1605.00230.

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2016Generalized Autoregressive Score Models in R: The GAS Package. (2016). Catania, Leopoldo ; Ardia, David ; Boudt, Kris. In: Papers. RePEc:arx:papers:1609.02354.

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

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

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

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

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

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

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2016Measuring Uncertainty and Its Impact on the Economy. (2016). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1639.

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2016Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: BCAM Working Papers. RePEc:bbk:bbkcam:1603.

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2016Tracking Changes in the Intensity of Financial Sectors Systemic Risk. (2016). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp102.

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

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

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2016Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1052_16.

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

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2016The Chinese Stock Market Does not React to the Japanese Market: Using Intraday Data to Analyse Return and Volatility Spillover Effects. (2016). Tsutsui, Yoshiro ; Nishimura, Yusaku ; Hirayama, Kenjiro . In: The Japanese Economic Review. RePEc:bla:jecrev:v:67:y:2016:i:3:p:280-294.

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2016Time series analysis of volatility in the petroleum pricing markets: the persistence, asymmetry and jumps in the returns series. (2016). YAYA, OLAOLUWA ; Olubusoye, Olusanya. In: OPEC Energy Review. RePEc:bla:opecrv:v:40:y:2016:i:3:p:235-262.

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2016Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Bank of England working papers. RePEc:boe:boeewp:0577.

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2016High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models. (2016). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1084.

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

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

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2016Bayesian state space models for dynamic genetic network construction across multiple tissues. (2016). Yulan, Liang ; Arpad, Kelemen . In: Statistical Applications in Genetics and Molecular Biology. RePEc:bpj:sagmbi:v:15:y:2016:i:4:p:273-290:n:1.

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2016Estimating stochastic volatility models using realized measures. (2016). Jeremias, Bekierman ; Bastian, Gribisch . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:3:p:279-300:n:3.

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2016On the estimation of short memory components in long memory time series models. (2016). George, Kapetanios ; Richard, Baillie . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:365-375:n:8.

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

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2016Realised Variance Forecasting Under Box-Cox Transformations. (2016). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:16/4.

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2016Spline-DCS for Forecasting Trade Volume in High-Frequency Finance. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1606.

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2016Asymptotic Theory for Beta-t-GARCH. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1607.

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

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2016The Time-Varying Risk of Macroeconomic Disasters. (2016). Penasse, Julien ; Marfè, Roberto ; Marfe, Roberto . In: Carlo Alberto Notebooks. RePEc:cca:wpaper:463.

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2016The G7 Business Cycle in a Globalized World. (2016). Carstensen, Kai ; Salzmann, Leonard . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5980.

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

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2016Tracking the Slowdown in Long-Run GDP Growth. (2016). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan. In: Discussion Papers. RePEc:cfm:wpaper:1604.

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2016Adaptive state space models with applications to the business cycle and financial stress. (2016). Venditti, Fabrizio ; Petrella, Ivan ; Delle Monache, Davide. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11599.

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

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2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:23436.

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2016Measuring the uncertainty of Principal Components in Dynamic Factor Models. (2016). Ruiz, Esther ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23974.

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

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

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2016Determining the number of factors after stationary univariate transformations. (2016). Ruiz, Esther ; Poncela, Pilar ; Corona, Francisco . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1602.

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2016Improving model-based near-term GDP forecasts by subjective forecasts: A real-time exercise for the G7 countries. (2016). Jansen, W. Jos ; de Winter, Jasper. In: DNB Working Papers. RePEc:dnb:dnbwpp:507.

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

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2016A comparison of different univariate forecasting models forSpot Electricity Price in India. (2016). Tiwari, Aviral ; Girish, G P. In: Economics Bulletin. RePEc:ebl:ecbull:eb-15-00633.

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2017Extreme 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.

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

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

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2016Is the intrinsic value of macroeconomic news announcements related to their asset price impact?. (2016). Strasser, Georg ; Scotti, Chiara ; Gilbert, Thomas ; Vega, Clara . In: Working Paper Series. RePEc:ecb:ecbwps:20161882.

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2016Business, housing and credit cycles. (2016). Rünstler, Gerhard ; Runstler, Gerhard ; Vlekke, Marente . In: Working Paper Series. RePEc:ecb:ecbwps:20161915.

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2016An inflation-predicting measure of the output gap in the euro area. (2016). Lenza, Michele ; Jarociński, Marek ; Jarociski, Marek . In: Working Paper Series. RePEc:ecb:ecbwps:20161966.

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2016Is the Best Generalized Autoregressive Conditional Heteroskedasticity(p,q) Value-at-risk Estimate also the Best in Reality? An Evidence from Australian Interconnected Power Markets. (2016). Triandaru, Sigit ; Handika, Rangga . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2016-04-19.

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2016Wind power scenario generation through state-space specifications for uncertainty analysis of wind power plants. (2016). Gomez-Aleixandre, Javier ; Coto, Jose . In: Applied Energy. RePEc:eee:appene:v:162:y:2016:i:c:p:21-30.

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2016Tax reforms and stock return volatility: The case of Japan. (2016). Hayashida, Minoru ; Ono, Hiroyuki . In: Journal of Asian Economics. RePEc:eee:asieco:v:45:y:2016:i:c:p:1-14.

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2016Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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2016On conditional covariance modelling: An approach using state space models. (2016). Hendrych, R ; Cipra, T. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:304-317.

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2016Matrix exponential stochastic volatility with cross leverage. (2016). Omori, Yasuhiro ; Asai, Manabu ; Ishihara, Tsunehiro . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:331-350.

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2016Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach. (2016). Palm, Franz ; Laurent, Sébastien ; Lecourt, Christelle . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:383-400.

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2016Semiparametric score driven volatility models. (2016). Lucas, Andre ; Blasques, Francisco ; Ji, Jiangyu . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:58-69.

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2016Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown. (2016). Sucarrat, Genaro ; Escribano, Alvaro ; Gronneberg, Steffen . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:582-594.

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2016The exact Gaussian likelihood estimation of time-dependent VARMA models. (2016). Melard, Guy ; Jonasson, Kristjan ; Alj, Abdelkamel . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:633-644.

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2016A variational Expectation–Maximization algorithm for temporal data clustering. (2016). el Assaad, Hani ; Aknin, Patrice ; Govaert, Gerard ; Same, Allou . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:103:y:2016:i:c:p:206-228.

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2016Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange. (2016). Jayawardena, Nirodha I ; Su, Jen-Je ; Li, Bin ; Todorova, Neda . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:592-608.

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2016Hedging performance of REIT index futures: A comparison of alternative hedge ratio estimation methods. (2016). Zhou, Jian. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:690-698.

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2016Structural breaks and monetary dynamics: A time series analysis. (2016). El-Shazly, Alaa . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:133-143.

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2016Forecasting VaR and ES using dynamic conditional score models and skew Student distribution. (2016). Gao, Chun-Ting ; Zhou, Xiao-Hua . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:216-223.

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2016An econometric evaluation of the management of large-scale transport infrastructure in Spain during the great recession: Lessons for infrastructure bubbles. (2016). Castillo-Manzano, Jose I ; Pozo-Barajas, Rafael ; Pedregal, Diego J. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:302-313.

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2016Long memory and structural change in the G7 inflation dynamics. (2016). Belkhouja, Mustapha ; Mootamri, Imene . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:450-462.

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

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

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

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

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

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2016Accounting for missing values in score-driven time-varying parameter models. (2016). Lucas, Andre ; Schaumburg, Julia ; Opschoor, Anne . In: Economics Letters. RePEc:eee:ecolet:v:148:y:2016:i:c:p:96-98.

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2016An alternative stock-recruitment function for age-structured models. (2016). Lemos, Ricardo T. In: Ecological Modelling. RePEc:eee:ecomod:v:341:y:2016:i:c:p:14-26.

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2016Particle efficient importance sampling. (2016). Scharth, Marcel ; Kohn, Robert . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:133-147.

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2016Long memory affine term structure models. (2016). Golinski, Adam ; Zaffaroni, Paolo ; Goliski, Adam . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:33-56.

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2016Improving GDP measurement: A measurement-error perspective. (2016). Schorfheide, Frank ; Diebold, Francis ; Aruoba, S. Boragan ; Song, Dongho ; Nalewaik, Jeremy . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:2:p:384-397.

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2016Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs. (2016). Marcellino, Massimiliano. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:335-348.

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2016High-dimensional copula-based distributions with mixed frequency data. (2016). Patton, Andrew ; Oh, Donghwan . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:349-366.

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

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

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

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

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

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

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

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

Siem Jan Koopman has edited the books:


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YearTitleTypeCited
2007Long memory modelling of inflation with stochastic variance and structural breaks In: CREATES Research Papers.
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paper2
2007Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks.(2007) In: Tinbergen Institute Discussion Papers.
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2009Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates In: CREATES Research Papers.
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paper1
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers.
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paper0
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models *.(2016) In: Working Papers.
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paper
2007Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices In: Journal of the American Statistical Association.
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article90
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: 90
paper
1992Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article99
1997The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]
article27
2004State Space Models With a Common Stochastic Variance In: Journal of Business & Economic Statistics.
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article7
2006Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article30
2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article29
2008A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics.
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article16
2005A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: DNB Working Papers.
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paper
2005A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: Tinbergen Institute Discussion Papers.
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paper
2010Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters In: Journal of Business & Economic Statistics.
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article33
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics.
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article57
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2011) In: Journal of Business & Economic Statistics.
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article
2010A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2010) In: Tinbergen Institute Discussion Papers.
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paper
2010Common business and housing market cycles in the Euro area from a multivariate decomposition. In: Working papers.
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paper9
2008Model-based measurement of latent risk in time series with applications In: Journal of the Royal Statistical Society Series A.
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article2
2005Model-based Measurement of Latent Risk in Time Series with Applications.(2005) In: Tinbergen Institute Discussion Papers.
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paper
2015A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League In: Journal of the Royal Statistical Society Series A.
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article5
2012A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League.(2012) In: Tinbergen Institute Discussion Papers.
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paper
2000Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives In: Journal of the Royal Statistical Society Series B.
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article51
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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paper
2009Seasonality with trend and cycle interactions in unobserved components models In: Journal of the Royal Statistical Society Series C.
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article4
2008Seasonality with Trend and Cycle Interactions in Unobserved Components Models.(2008) In: Tinbergen Institute Discussion Papers.
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paper
2010Multivariate non-linear time series modelling of exposure and risk in road safety research In: Journal of the Royal Statistical Society Series C.
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2003Filtering and smoothing of state vector for diffuse state-space models In: Journal of Time Series Analysis.
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article18
2010Likelihood functions for state space models with diffuse initial conditions In: Journal of Time Series Analysis.
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article7
2008Likelihood Functions for State Space Models with Diffuse Initial Conditions.(2008) In: Tinbergen Institute Discussion Papers.
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2002 Constructing Seasonally Adjusted Data with Time-Varying Confidence Intervals. In: Oxford Bulletin of Economics and Statistics.
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2001Constructing seasonally adjusted data with time-varying confidence intervals.(2001) In: Econometric Institute Research Papers.
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paper
2008Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US In: Oxford Bulletin of Economics and Statistics.
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2009Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment In: Oxford Bulletin of Economics and Statistics.
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article3
2006Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment.(2006) In: Tinbergen Institute Discussion Papers.
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paper
2002Discussion of MCMC-based inference by R. Paap In: Statistica Neerlandica.
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article0
2003Time Series Modelling of Daily Tax Revenues In: Statistica Neerlandica.
[Full Text][Citation analysis]
article5
1999Time-Series Modelling of Daily Tax Revenues.(1999) In: Computing in Economics and Finance 1999.
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paper
2001Time Series Modelling of Daily Tax Revenues.(2001) In: Tinbergen Institute Discussion Papers.
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paper
2008Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model In: Statistica Neerlandica.
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article0
2007Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model.(2007) In: Tinbergen Institute Discussion Papers.
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paper
2004Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers In: Studies in Nonlinear Dynamics & Econometrics.
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article8
1992Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) In: STICERD - Econometrics Paper Series.
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paper0
1995The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in Journal of Business and Economic Statistics, 15 (1997), pp.354-368.) In: STICERD - Econometrics Paper Series.
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paper0
1996Multivariate Structural Time Series Models - (Now published in System Dynamics in Economic and Financial Models, CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997 In: STICERD - Econometrics Paper Series.
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paper0
1997Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.) In: STICERD - Econometrics Paper Series.
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paper0
2014Nowcasting and forecasting economic growth in the euro area using principal components In: DNB Working Papers.
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paper0
2014Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components.(2014) In: Tinbergen Institute Discussion Papers.
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paper
2016Measuring financial cycles with a model-based filter: Empirical evidence for the United States and the euro area In: DNB Working Papers.
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paper4
2011Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series.
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paper20
2012Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 In: Working Paper Series.
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paper20
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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article
2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
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paper23
2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers.
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paper
2014Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics.
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article
2016The information in systemic risk rankings In: Working Paper Series.
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paper5
2016The information in systemic risk rankings.(2016) In: Journal of Empirical Finance.
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article
2015The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 5
paper
2016Global credit risk: world country and industry factors In: Working Paper Series.
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paper3
2015Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers.
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paper
2004Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices In: Econometric Society 2004 Australasian Meetings.
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paper20
2003Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices.(2003) In: Tinbergen Institute Discussion Papers.
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paper
2000Computing Observation Weights for Signal Extraction and Filtering In: Econometric Society World Congress 2000 Contributed Papers.
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paper35
2003Computing observation weights for signal extraction and filtering.(2003) In: Journal of Economic Dynamics and Control.
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article
1999Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal.
[Citation analysis]
article154
1998Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Discussion Paper.
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2000Signal extraction and the formulation of unobserved components models In: Econometrics Journal.
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article42
1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper.
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paper
2006Forecasting daily time series using periodic unobserved components time series models In: Computational Statistics & Data Analysis.
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article7
2004Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models.(2004) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 7
paper
2006Special Issue on Nonlinear Modelling and Financial Econometrics In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article2
2010Exact maximum likelihood estimation for non-stationary periodic time series models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article5
2012Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article4
2014Long memory with stochastic variance model: A recursive analysis for US inflation In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article5
2011Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control.
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article23
2011Maximum likelihood estimation for dynamic factor models with missing data.(2011) In: Post-Print.
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paper
2016Intervention time series analysis of crime rates: The case of sentence reform in Virginia In: Economic Modelling.
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article1
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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article2
2016Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area.(2016) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 2
paper
2008The multi-state latent factor intensity model for credit rating transitions In: Journal of Econometrics.
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article34
2005The Multi-State Latent Factor Intensity Model for Credit Rating Transitions.(2005) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 34
paper
2009Testing the assumptions behind importance sampling In: Journal of Econometrics.
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article13
2011Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics.
[Full Text][Citation analysis]
article28
2014Generalized dynamic panel data models with random effects for cross-section and time In: Journal of Econometrics.
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article5
2014Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time.(2014) In: Tinbergen Institute Discussion Papers.
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paper
2016Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics.
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article0
2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
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article10
2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers.
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paper
2014Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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paper
1997Detecting shocks: Outliers and breaks in time series In: Journal of Econometrics.
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article13
1998Estimation of stochastic volatility models via Monte Carlo maximum likelihood In: Journal of Econometrics.
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article91
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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article134
2004Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements.(2004) In: Computing in Economics and Finance 2004.
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2004Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements.(2004) In: Tinbergen Institute Discussion Papers.
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2009Credit cycles and macro fundamentals In: Journal of Empirical Finance.
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article35
2006Credit Cycles and Macro Fundamentals.(2006) In: Tinbergen Institute Discussion Papers.
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2006Credit cycles and macro fundamentals.(2006) In: CFS Working Paper Series.
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2014Long memory dynamics for multivariate dependence under heavy tails In: Journal of Empirical Finance.
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2011Long Memory Dynamics for Multivariate Dependence under Heavy Tails.(2011) In: Tinbergen Institute Discussion Papers.
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2008An hourly periodic state space model for modelling French national electricity load In: International Journal of Forecasting.
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2008An Hourly Periodic State Space Model for Modelling French National Electricity Load.(2008) In: Tinbergen Institute Discussion Papers.
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2010Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments In: International Journal of Forecasting.
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2013Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model In: International Journal of Forecasting.
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article5
2011Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model.(2011) In: Tinbergen Institute Discussion Papers.
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2014Forecasting macroeconomic variables using collapsed dynamic factor analysis In: International Journal of Forecasting.
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2012Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis.(2012) In: Tinbergen Institute Discussion Papers.
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2014Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting.
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2016In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models In: International Journal of Forecasting.
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article2
2015In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models.(2015) In: Tinbergen Institute Discussion Papers.
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paper
2016Forecasting and nowcasting economic growth in the euro area using factor models In: International Journal of Forecasting.
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2005Empirical credit cycles and capital buffer formation In: Journal of Banking & Finance.
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1996Maximum Likelihood Estimation of Stochastic Volatility Models In: FMG Discussion Papers.
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2009A General Framework for Observation Driven Time-Varying Parameter Models In: Global COE Hi-Stat Discussion Paper Series.
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paper14
2008A General Framework for Observation Driven Time-Varying Parameter Models.(2008) In: Tinbergen Institute Discussion Papers.
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2002The stochastic volatility in mean model: empirical evidence from international stock markets In: Journal of Applied Econometrics.
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2004Convergence in European GDP series: a multivariate common converging trend-cycle decomposition In: Journal of Applied Econometrics.
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article29
2005Business and default cycles for credit risk In: Journal of Applied Econometrics.
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article54
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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article14
2017Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting In: NBP Working Papers.
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2002Testing the Assumptions Behind the Use of Importance Sampling In: Economics Papers.
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2015Information-theoretic optimality of observation-driven time series models for continuous responses In: Biometrika.
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2007Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models In: Biometrika.
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2012Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing In: Journal of Financial Econometrics.
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article7
2009Spot Variance Path Estimation and its Application to High Frequency Jump Testing.(2009) In: Tinbergen Institute Discussion Papers.
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2012The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures In: Journal of Financial Econometrics.
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2011The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures.(2011) In: Tinbergen Institute Discussion Papers.
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2001Time Series Analysis by State Space Methods In: OUP Catalogue.
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2012Time Series Analysis by State Space Methods.(2012) In: OUP Catalogue.
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2007An Introduction to State Space Time Series Analysis In: OUP Catalogue.
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2003Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area In: Working Papers.
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2003Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area.(2003) In: Tinbergen Institute Discussion Papers.
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2001An efficient and simple simulation smoother for state space time series analysis In: Computing in Economics and Finance 2001.
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1999Fast Estimation of Parameters in State Space Models In: Computing in Economics and Finance 1999.
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2001Interaction between structural and cyclical shocks in production and employment In: Review of World Economics (Weltwirtschaftliches Archiv).
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2013Modelling trigonometric seasonal components for monthly economic time series In: Applied Economics.
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2010Modeling Trigonometric Seasonal Components for Monthly Economic Time Series.(2010) In: Tinbergen Institute Discussion Papers.
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2006Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models In: Econometric Reviews.
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2016Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models In: Econometric Reviews.
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2011Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models.(2011) In: Tinbergen Institute Discussion Papers.
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2015Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models In: Journal of Business & Economic Statistics.
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2012Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models.(2012) In: Tinbergen Institute Discussion Papers.
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1997Interaction between Supply and Demand Shocks in Production and Employment In: Tinbergen Institute Discussion Papers.
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2000The Stochastic Volatility in Mean Model In: Tinbergen Institute Discussion Papers.
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2000Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility In: Tinbergen Institute Discussion Papers.
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2002Stock Index Volatility Forecasting with High Frequency Data In: Tinbergen Institute Discussion Papers.
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2002Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation In: Tinbergen Institute Discussion Papers.
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2002Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series In: Tinbergen Institute Discussion Papers.
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2003Convergence in European GDP Series In: Tinbergen Institute Discussion Papers.
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paper4
2003Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence In: Tinbergen Institute Discussion Papers.
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paper3
2003Intervention Time Series Analysis of Crime Rates In: Tinbergen Institute Discussion Papers.
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paper1
2003Measuring Synchronisation and Convergence of Business Cycles In: Tinbergen Institute Discussion Papers.
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2005Model-based Measurement of Actual Volatility in High-Frequency Data In: Tinbergen Institute Discussion Papers.
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2005Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series In: Tinbergen Institute Discussion Papers.
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2005On Importance Sampling for State Space Models In: Tinbergen Institute Discussion Papers.
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2006Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series In: Tinbergen Institute Discussion Papers.
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