Siem Jan Koopman : Citation Profile


Are you Siem Jan Koopman?

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

33

H index

79

i10 index

5120

Citations

RESEARCH PRODUCTION:

108

Articles

154

Papers

3

Books

EDITOR:

4

Books edited

RESEARCH ACTIVITY:

   30 years (1992 - 2022). See details.
   Cites by year: 170
   Journals where Siem Jan Koopman has often published
   Relations with other researchers
   Recent citing documents: 475.    Total self citations: 196 (3.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pko46
   Updated: 2022-07-02    RAS profile: 2022-05-22    
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Relations with other researchers


Works with:

Blasques, Francisco (13)

Lucas, Andre (12)

Li, Mengheng (5)

Hillebrand, Eric (3)

Schaumburg, Julia (2)

Creal, Drew (2)

van Dijk, Herman (2)

Wintenberger, Olivier (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 (162)

Proietti, Tommaso (130)

Harvey, Andrew (106)

Schwaab, Bernd (72)

Ruiz, Esther (70)

Asai, Manabu (62)

McAleer, Michael (56)

Delle Monache, Davide (55)

Petrella, Ivan (49)

Shephard, Neil (47)

Zhang, Xin (46)

Cites to:

Lucas, Andre (194)

Reichlin, Lucrezia (140)

Shephard, Neil (131)

Bollerslev, Tim (107)

Giannone, Domenico (105)

Harvey, Andrew (105)

Creal, Drew (100)

Watson, Mark (99)

Engle, Robert (83)

Diebold, Francis (79)

Stock, James (43)

Main data


Where Siem Jan Koopman has published?


Journals with more than one article published# docs
Journal of Econometrics15
International Journal of Forecasting10
Journal of Applied Econometrics9
Journal of Business & Economic Statistics8
Computational Statistics & Data Analysis5
Journal of Financial Econometrics5
Journal of Applied Econometrics4
Journal of Time Series Analysis4
Journal of Empirical Finance4
Statistica Neerlandica4
Oxford Bulletin of Economics and Statistics4
Journal of Business & Economic Statistics3
Biometrika3
Econometric Reviews3
The Review of Economics and Statistics3
Journal of the Royal Statistical Society Series A3
Journal of Forecasting2
Journal of Economic Dynamics and Control2
Journal of the Royal Statistical Society Series C2
Econometrics Journal2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute106
Working Paper Series / European Central Bank5
Computing in Economics and Finance 1999 / Society for Computational Economics2

Recent works citing Siem Jan Koopman (2022 and 2021)


YearTitle of citing document
2020Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12.

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2020To infinity and beyond: Efficient computation of ARCH(1) models. (2020). Nielsen, Morten ; Noel, Antoine L. In: CREATES Research Papers. RePEc:aah:create:2020-13.

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2021Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09.

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2021Long and short memory in dynamic term structure models. (2021). Huseynov, Salman. In: CREATES Research Papers. RePEc:aah:create:2021-15.

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2021.

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

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2021Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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

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2022Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2022Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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

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2022Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273.

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

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2022Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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

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

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2022Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession. (2020). Diebold, Francis X. In: Papers. RePEc:arx:papers:2006.15183.

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

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2021Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545.

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2021A Robust Score-Driven Filter for Multivariate Time Series. (2020). Mazzocchi, Mario ; Luati, Alessandra ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2009.01517.

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2022Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2021The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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2021Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2021A nowcasting approach to generate timely estimates of Mexican economic activity: An application to the period of COVID-19. (2021). Corona, Francisco ; Gonz, Graciela ; L'Opez, Jes'Us. In: Papers. RePEc:arx:papers:2101.10383.

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

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2021Modeling Price Clustering in High-Frequency Prices. (2021). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2102.12112.

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2022Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions. (2021). Ng, Serena ; Bai, Jushan ; Cahan, Ercument. In: Papers. RePEc:arx:papers:2103.03045.

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

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2022Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

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2021FX Market Volatility. (2021). Koshelev, Anton. In: Papers. RePEc:arx:papers:2104.14190.

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2022Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T. In: Papers. RePEc:arx:papers:2106.12262.

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2022A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263.

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2021Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923.

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2021Semiparametric Functional Factor Models with Bayesian Rank Selection. (2021). Kowal, Daniel R. In: Papers. RePEc:arx:papers:2108.02151.

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2021Implicit Copulas: An Overview. (2021). Smith, Michael Stanley. In: Papers. RePEc:arx:papers:2109.04718.

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2021Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043.

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2022Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2022Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308.

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2021Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149.

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2022Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction. (2022). Salish, Nazarii ; Otto, Sven. In: Papers. RePEc:arx:papers:2201.02532.

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2022Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices. (2022). Ricco, Giovanni ; Pellegrino, Filippo ; Hasenzagl, Thomas ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2201.05556.

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2022High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584.

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2022Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization. (2022). Funovits, Bernd ; Koistinen, Juho. In: Papers. RePEc:arx:papers:2202.00310.

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2022A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146.

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2022Score Driven Generalized Fitness Model for Sparse and Weighted Temporal Networks. (2022). di Gangi, Domenico ; Lillo, Fabrizio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2202.09854.

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2022Dynamic Spatiotemporal ARCH Models. (2022). Otto, Philipp ; Tacspinar, Suleyman ; Dougan, Osman. In: Papers. RePEc:arx:papers:2202.13856.

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2022Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2022A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate. (2022). Belkacem, Lotfi ; Boubaker, Heni ; ben Amor, Souhir. In: Papers. RePEc:arx:papers:2204.08289.

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2022An Augmented Steady-State Kalman Filter to Evaluate the Likelihood of Linear and Time-Invariant State-Space Models. (2022). Huber, Johannes. In: Discussion Paper Series. RePEc:aug:augsbe:0343.

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

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

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2022Macroeconomic Predictions Using Payments Data and Machine Learning. (2022). Desai, Ajit ; Chapman, James. In: Staff Working Papers. RePEc:bca:bocawp:22-10.

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2021Modeling and forecasting macroeconomic downside risk. (2021). Petrella, Ivan ; Delle Monache, Davide ; de Polis, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1324_21.

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2021Exploring the sources of loan default clustering using survival analysis with frailty. (2021). Sanchez-Cajal, Fatima ; Mohamed, Abdulkadir ; Enrique, Enrique Batiz-Zuk. In: Working Papers. RePEc:bdm:wpaper:2021-14.

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

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2021Characterizing and Communicating the Balance of Risks of Macroeconomic Forecasts: A Predictive Density Approach for Colombia. (2021). Guarín López, Alexander ; Grajales-Olarte, Anderson ; Anzola-Bravo, Cesar ; Guarin, Alexander ; Mendez-Vizcaino, Juan C. In: Borradores de Economia. RePEc:bdr:borrec:1178.

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2021Reglas fiscales subnacionales en Colombia: desde su concepción hasta los resultados frente al COVID-19. (2021). Ricciulli-Marin, Diana ; PEREZ-VALBUENA, GERSON ; Bonet, Jaime ; Barrios, Paula ; Bonet-Moron, Jaime. In: Documentos de trabajo sobre Economía Regional y Urbana. RePEc:bdr:region:297.

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2021Indicador coincidente de actividad económica en la recesión pandémica: el caso del Caribe colombiano. (2021). Collazos-Rodriguez, Jaime Andres ; Sanabria-Dominguez, Johana ; Vidal-Alejandro, Pavel ; Orozco-Gallo, Antonio Jose. In: Documentos de trabajo sobre Economía Regional y Urbana. RePEc:bdr:region:298.

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

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2020Trend Fundamentals and Exchange Rate Dynamics. (2020). Kaufmann, Daniel ; Huber, Florian. In: Economica. RePEc:bla:econom:v:87:y:2020:i:348:p:1016-1036.

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2021The Direction and Intensity of China’s Monetary Policy: A Dynamic Factor Modelling Approach*. (2021). Tsang, Andrew ; Funke, Michael. In: The Economic Record. RePEc:bla:ecorec:v:97:y:2021:i:316:p:100-122.

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2021The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market. (2021). Zheng, Kaixin ; Tse, Yiuman ; Liu, Qingfu. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:4:p:671-692.

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2021The sovereign yield curve and credit ratings in GIIPS. (2021). Umar, Zaghum ; Shehzad, Choudhry T ; Riaz, Yasir. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:895-916.

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2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

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2021Trumps tweets: Sentiment, stock market volatility, and jumps. (2021). Sun, Bianxia ; Dong, Xuyi ; Nishimura, Yusaku. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:497-512.

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2021A dynamic factor model approach to incorporate Big Data in state space models for official statistics. (2021). Smeekes, Stephan ; Palm, Franz ; Schiavoni, Caterina ; van den Brakel, Jan. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:1:p:324-353.

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2021Nowcasting monthly GDP with big data: A model averaging approach. (2021). Proietti, Tommaso ; Giovannelli, Alessandro. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:2:p:683-706.

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2021Filtering the intensity of public concern from social media count data with jumps. (2021). Santagiustina, Carlo ; Iacopini, Matteo. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:4:p:1283-1302.

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

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2021Fused graphical lasso for brain networks with symmetries. (2021). Luati, Alessandra ; Roverato, Alberto ; Ranciati, Saverio. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:5:p:1299-1322.

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

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2020A family of multivariate non‐gaussian time series models. (2020). Soyer, Refik ; Polson, Nicholas G ; Aktekin, Tevfik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:691-721.

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2021Mixtures of Nonlinear Poisson Autoregressions. (2021). Rynkiewicz, Joseph ; Fokianos, Konstantinos ; Doukhan, Paul. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:1:p:107-135.

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2021Quasi?maximum likelihood estimation of conditional autoregressive Wishart models. (2021). Asai, Manabu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:271-294.

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2021Extensions to the invariance property of maximum likelihood estimation for affine?transformed state?space models. (2021). Fernandes, Marcelo ; Pizzinga, Adrian. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:355-371.

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2021Integer?valued asymmetric garch modeling. (2021). Andrews, Beth ; Hu, Xiaofei. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:5-6:p:737-751.

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2021Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter. (2021). Stockhammer, Engelbert ; Gusella, Filippo. In: Metroeconomica. RePEc:bla:metroe:v:72:y:2021:i:4:p:758-797.

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2021Modelling of Economic and Financial Conditions for Real?Time Prediction of Recessions. (2021). Çakmaklı, Cem ; Altug, Sumru ; Ircani, Hamza Dem. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:3:p:663-685.

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2021Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*. (2021). Delle Monache, Davide ; Busetti, Fabio ; Caivano, Michele. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:4:p:982-1001.

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2021Bayesian Inference in Spatial Stochastic Volatility Models: An Application to House Price Returns in Chicago. (2021). Chae, Jiyoung ; Doan, Osman ; Tapinar, Suleyman ; Bera, Anil K. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:5:p:1243-1272.

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2021Accurate Confidence Regions for Principal Components Factors. (2021). Ruiz, Esther ; Maldonado, Javier. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:6:p:1432-1453.

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

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2020Media?Based Sentiment Indices as an Alternative Measure of Consumer Confidence. (2020). Reid, Monique ; Kirsten, Johann ; Odendaal, Hanjo. In: South African Journal of Economics. RePEc:bla:sajeco:v:88:y:2020:i:4:p:409-434.

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2021Bayesian State?Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy. (2021). Pfarrhofer, Michael ; Hauzenberger, Niko. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:123:y:2021:i:4:p:1261-1291.

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2021Robust estimation for discrete?time state space models. (2021). Xu, Ximing ; Flemming, Joanna Mills ; Kunsch, Hans R ; Field, Chris ; Cantoni, Eva ; Aeberhard, William H. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:4:p:1127-1147.

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2021Resolving the ambiguity of random?effects models with singular precision matrix. (2021). Lee, Youngjo ; Piepho, Hanspeter. In: Statistica Neerlandica. RePEc:bla:stanee:v:75:y:2021:i:4:p:482-499.

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2022Autoregressive and moving average models for zero?inflated count time series. (2022). Tiwari, Rashmi ; Mukhopadhyay, Siuli ; Sathish, Vurukonda. In: Statistica Neerlandica. RePEc:bla:stanee:v:76:y:2022:i:2:p:190-218.

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

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2020The effects of conventional and unconventional monetary policy : identification through the yield curve. (2020). Nelimarkka, Jaakko ; Kortela, Tomi . In: Research Discussion Papers. RePEc:bof:bofrdp:2020_003.

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2021Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages. (2021). Hiroyuki, Kawakatsu. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:33-52:n:7.

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2021Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models. (2021). Blazsek, Szabolcs ; Alvaro, Escribano ; Adrian, Licht ; Szabolcs, Blazsek. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:53-66:n:3.

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2020An exploration of predictive football modelling. (2020). Mitchell, Pearson ; Livingston, Jr Glen ; Robert, King. In: Journal of Quantitative Analysis in Sports. RePEc:bpj:jqsprt:v:16:y:2020:i:1:p:27-39:n:5.

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2020Constrained interest rates and changing dynamics at the zero lower bound. (2020). Strachan, Rodney ; Kaufmann, Daniel ; Baeurle, Gregor ; Rodney, Strachan ; Sylvia, Kaufmann ; Daniel, Kaufmann ; Gregor, Baurle. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:2:p:26:n:3.

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2020Causal relationships between inflation and inflation uncertainty. (2020). JAWADI, Fredj ; Barnett, William ; William, Barnett ; ZIED, FTITI . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:5:p:26:n:4.

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2021Outliers and misleading leverage effect in asymmetric GARCH-type models. (2021). Carnero, M. Angeles ; Angeles, Carnero M ; Ana, Perez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:19:n:2.

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

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

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2021Time series modeling of epidemics: leading indicators, control groups and policy assessment. (2021). Harvey, A C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2114.

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

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

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2022A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Wu, J ; Tang, H ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2237.

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

Siem Jan Koopman has edited the books:


YearTitleTypeCited

Works by Siem Jan Koopman:


YearTitleTypeCited
2007Long memory modelling of inflation with stochastic variance and structural breaks In: CREATES Research Papers.
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paper4
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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2014SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES.(2014) In: Journal of Applied Econometrics.
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article
2019Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors In: CREATES Research Papers.
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2021Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors.(2021) In: Energy Economics.
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article
2020A statistical model of the global carbon budget In: CREATES Research Papers.
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2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers.
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2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models *.(2016) In: Working Papers.
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2007Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices In: Journal of the American Statistical Association.
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article140
2005Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices.(2005) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
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paper
1992Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article153
1997The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]
article37
2004State Space Models With a Common Stochastic Variance In: Journal of Business & Economic Statistics.
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article11
2006Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter In: Journal of Business & Economic Statistics.
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article46
2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
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article39
2008A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics.
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article22
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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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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article58
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics.
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article115
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2011) In: Journal of Business & Economic Statistics.
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2010A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2010) In: Tinbergen Institute Discussion Papers.
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2010Common business and housing market cycles in the Euro area from a multivariate decomposition. In: Working papers.
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2008Model?based measurement of latent risk in time series with applications In: Journal of the Royal Statistical Society Series A.
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2005Model-based Measurement of Latent Risk in Time Series with Applications.(2005) In: Tinbergen Institute Discussion Papers.
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2015A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League In: Journal of the Royal Statistical Society Series A.
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article25
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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2019The analysis and forecasting of tennis matches by using a high dimensional dynamic model In: Journal of the Royal Statistical Society Series A.
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article3
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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1998Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives.(1998) In: Discussion Paper.
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1998Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives.(1998) In: Other publications TiSEM.
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2009Seasonality with trend and cycle interactions in unobserved components models In: Journal of the Royal Statistical Society Series C.
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article5
2008Seasonality with Trend and Cycle Interactions in Unobserved Components Models.(2008) In: Tinbergen Institute Discussion Papers.
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2010Multivariate non?linear time series modelling of exposure and risk in road safety research In: Journal of the Royal Statistical Society Series C.
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article4
2000Fast Filtering and Smoothing for Multivariate State Space Models In: Journal of Time Series Analysis.
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article69
1998Fast Filtering and Smoothing for Multivariate State Space Models.(1998) In: Discussion Paper.
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paper
1998Fast Filtering and Smoothing for Multivariate State Space Models.(1998) In: Other publications TiSEM.
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paper
2003Filtering and smoothing of state vector for diffuse state?space models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article31
2010Likelihood functions for state space models with diffuse initial conditions In: Journal of Time Series Analysis.
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article17
2008Likelihood Functions for State Space Models with Diffuse Initial Conditions.(2008) In: Tinbergen Institute Discussion Papers.
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2017Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis.
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article28
2014Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers.
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2002Constructing Seasonally Adjusted Data with Time?varying Confidence Intervals In: Oxford Bulletin of Economics and Statistics.
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2001Constructing seasonally adjusted data with time-varying confidence intervals.(2001) In: Econometric Institute Research Papers.
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2008Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* In: Oxford Bulletin of Economics and Statistics.
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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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article4
2006Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment.(2006) In: Tinbergen Institute Discussion Papers.
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paper
2022Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies In: Oxford Bulletin of Economics and Statistics.
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2002Discussion of ‘MCMC?based inference’ by R. Paap In: Statistica Neerlandica.
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2003Time Series Modelling of Daily Tax Revenues In: Statistica Neerlandica.
[Full Text][Citation analysis]
article9
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
2019Modified efficient importance sampling for partially non?Gaussian state space models In: Statistica Neerlandica.
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article1
2004Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers In: Studies in Nonlinear Dynamics & Econometrics.
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article10
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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paper3
1995The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in Journal of Business and Economic Statistics, 15 (1997), pp.354-368.) In: STICERD - Econometrics Paper Series.
[Citation analysis]
paper0
1996Multivariate Structural Time Series Models - (Now published in System Dynamics in Economic and Financial Models, CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997 In: STICERD - Econometrics Paper Series.
[Citation analysis]
paper2
1997Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.) In: STICERD - Econometrics Paper Series.
[Citation analysis]
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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.
[Full Text][Citation analysis]
paper43
2017Modeling the business and financial cycle in a multivariate structural time series model In: DNB Working Papers.
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paper12
2011Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series.
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paper33
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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2012Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008.(2012) In: Journal of Business & Economic Statistics.
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2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
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paper51
2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers.
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2014Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics.
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2016The information in systemic risk rankings In: Working Paper Series.
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2016The information in systemic risk rankings.(2016) In: Journal of Empirical Finance.
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2015The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers.
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paper
2016Global credit risk: world country and industry factors In: Working Paper Series.
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paper14
2015Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers.
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paper
2017Global Credit Risk: World, Country and Industry Factors.(2017) In: Journal of Applied Econometrics.
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article
2004Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices In: Econometric Society 2004 Australasian Meetings.
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2003Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices.(2003) In: Tinbergen Institute Discussion Papers.
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2000Computing Observation Weights for Signal Extraction and Filtering In: Econometric Society World Congress 2000 Contributed Papers.
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paper69
2003Computing observation weights for signal extraction and filtering.(2003) In: Journal of Economic Dynamics and Control.
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1999Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal.
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1998Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Discussion Paper.
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1998Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Other publications TiSEM.
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2000Signal extraction and the formulation of unobserved components models In: Econometrics Journal.
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article53
1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper.
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1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Other publications TiSEM.
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2006Forecasting daily time series using periodic unobserved components time series models In: Computational Statistics & Data Analysis.
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article10
2004Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models.(2004) In: Tinbergen Institute Discussion Papers.
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2006Special Issue on Nonlinear Modelling and Financial Econometrics In: Computational Statistics & Data Analysis.
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2010Exact maximum likelihood estimation for non-stationary periodic time series models In: Computational Statistics & Data Analysis.
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2012Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling In: Computational Statistics & Data Analysis.
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2014Long memory with stochastic variance model: A recursive analysis for US inflation In: Computational Statistics & Data Analysis.
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2011Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control.
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2011Maximum likelihood estimation for dynamic factor models with missing data.(2011) In: Post-Print.
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2016Intervention time series analysis of crime rates: The case of sentence reform in Virginia In: Economic Modelling.
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2016Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area In: Economics Letters.
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article61
2016Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area.(2016) In: Tinbergen Institute Discussion Papers.
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2008The multi-state latent factor intensity model for credit rating transitions In: Journal of Econometrics.
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2005The Multi-State Latent Factor Intensity Model for Credit Rating Transitions.(2005) In: Tinbergen Institute Discussion Papers.
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2009Testing the assumptions behind importance sampling In: Journal of Econometrics.
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2011Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics.
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2014Generalized dynamic panel data models with random effects for cross-section and time In: Journal of Econometrics.
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2014Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time.(2014) In: Tinbergen Institute Discussion Papers.
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2016Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics.
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2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
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article48
2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers.
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2014Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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2019Accelerating score-driven time series models In: Journal of Econometrics.
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article2
2020Long-term forecasting of El Niño events via dynamic factor simulations In: Journal of Econometrics.
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article0
2020The dynamic factor network model with an application to international trade In: Journal of Econometrics.
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article1
2020Partially censored posterior for robust and efficient risk evaluation In: Journal of Econometrics.
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article0
2019Partially Censored Posterior for Robust and Efficient Risk Evaluation.(2019) In: Tinbergen Institute Discussion Papers.
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2021Missing observations in observation-driven time series models In: Journal of Econometrics.
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article2
2018Missing Observations in Observation-Driven Time Series Models.(2018) In: Tinbergen Institute Discussion Papers.
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2022A time-varying parameter model for local explosions In: Journal of Econometrics.
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article1
2018A Time-Varying Parameter Model for Local Explosions.(2018) In: Tinbergen Institute Discussion Papers.
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2022Maximum likelihood estimation for score-driven models In: Journal of Econometrics.
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2017Maximum Likelihood Estimation for Score-Driven Models.(2017) In: Tinbergen Institute Discussion Papers.
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1997Detecting shocks: Outliers and breaks in time series In: Journal of Econometrics.
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1998Estimation of stochastic volatility models via Monte Carlo maximum likelihood In: Journal of Econometrics.
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2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements In: Journal of Empirical Finance.
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article299
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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article57
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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article44
2008An Hourly Periodic State Space Model for Modelling French National Electricity Load.(2008) In: Tinbergen Institute Discussion Papers.
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2010Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments In: International Journal of Forecasting.
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2013Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model In: International Journal of Forecasting.
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2011Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model.(2011) In: Tinbergen Institute Discussion Papers.
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2014Forecasting macroeconomic variables using collapsed dynamic factor analysis In: International Journal of Forecasting.
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article24
2012Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis.(2012) In: Tinbergen Institute Discussion Papers.
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2014Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting.
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2016In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models In: International Journal of Forecasting.
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2015In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models.(2015) In: Tinbergen Institute Discussion Papers.
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2016Forecasting and nowcasting economic growth in the euro area using factor models In: International Journal of Forecasting.
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2019Forecasting football match results in national league competitions using score-driven time series models In: International Journal of Forecasting.
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article9
2017Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models.(2017) In: Tinbergen Institute Discussion Papers.
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2019Forecasting economic time series using score-driven dynamic models with mixed-data sampling In: International Journal of Forecasting.
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2018Forecasting economic time series using score-driven dynamic models with mixed-data sampling.(2018) In: Tinbergen Institute Discussion Papers.
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2021Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data In: International Journal of Forecasting.
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2021Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data.(2021) In: Tinbergen Institute Discussion Papers.
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2005Empirical credit cycles and capital buffer formation In: Journal of Banking & Finance.
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2016The dynamic factor network model with an application to global credit risk In: Working Papers.
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2016The Dynamic Factor Network Model with an Application to Global Credit-Risk.(2016) In: Tinbergen Institute Discussion Papers.
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2009A General Framework for Observation Driven Time-Varying Parameter Models In: Global COE Hi-Stat Discussion Paper Series.
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2008A General Framework for Observation Driven Time-Varying Parameter Models.(2008) In: Tinbergen Institute Discussion Papers.
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2002The stochastic volatility in mean model: empirical evidence from international stock markets In: Journal of Applied Econometrics.
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2002The stochastic volatility in mean model: empirical evidence from international stock markets.(2002) In: Journal of Applied Econometrics.
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2004Convergence in European GDP series: a multivariate common converging trend-cycle decomposition In: Journal of Applied Econometrics.
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2005Business and default cycles for credit risk In: Journal of Applied Econometrics.
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2003Business and Default Cycles for Credit Risk.(2003) In: Tinbergen Institute Discussion Papers.
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2005Business and default cycles for credit risk.(2005) In: Journal of Applied Econometrics.
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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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