Siem Jan Koopman : Citation Profile


Are you Siem Jan Koopman?

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

35

H index

82

i10 index

5728

Citations

RESEARCH PRODUCTION:

110

Articles

157

Papers

3

Books

3

Chapters

EDITOR:

3

Books edited

RESEARCH ACTIVITY:

   31 years (1992 - 2023). See details.
   Cites by year: 184
   Journals where Siem Jan Koopman has often published
   Relations with other researchers
   Recent citing documents: 225.    Total self citations: 201 (3.39 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pko46
   Updated: 2024-01-16    RAS profile: 2023-11-06    
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Relations with other researchers


Works with:

Blasques, Francisco (5)

Hillebrand, Eric (3)

Li, Mengheng (3)

Lucas, Andre (2)

Schaumburg, Julia (2)

van Dijk, Herman (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 (165)

Proietti, Tommaso (148)

Harvey, Andrew (109)

Schwaab, Bernd (72)

Ruiz, Esther (66)

Asai, Manabu (64)

Zhang, Xin (54)

Delle Monache, Davide (51)

Petrella, Ivan (50)

Shephard, Neil (49)

Blazsek, Szabolcs (43)

Cites to:

Lucas, Andre (198)

Reichlin, Lucrezia (154)

Shephard, Neil (133)

Giannone, Domenico (119)

Harvey, Andrew (109)

Bollerslev, Tim (108)

Creal, Drew (102)

Watson, Mark (100)

Engle, Robert (91)

Diebold, Francis (78)

Blasques, Francisco (47)

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
The Journal of Financial Econometrics5
Computational Statistics & Data Analysis5
Journal of Applied Econometrics4
Oxford Bulletin of Economics and Statistics4
Journal of Time Series Analysis4
Journal of Empirical Finance4
Statistica Neerlandica4
Journal of Business & Economic Statistics3
Biometrika3
The Review of Economics and Statistics3
Journal of the Royal Statistical Society Series A3
Econometric Reviews3
Journal of Forecasting2
Journal of Economic Dynamics and Control2
Econometrics Journal2
Journal of the Royal Statistical Society Series C2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute111
Working Paper Series / European Central Bank5
Computing in Economics and Finance 1999 / Society for Computational Economics2
Post-Print / HAL2

Recent works citing Siem Jan Koopman (2024 and 2023)


YearTitle of citing document
2023A Sufficient Statistics Approach for Macro Policy. (2023). Mesters, Geert ; Barnichon, Regis. In: American Economic Review. RePEc:aea:aecrev:v:113:y:2023:i:11:p:2809-45.

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2023.

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2023FINANCIAL RISK OPTIMISATION METHODS: A SURVEY. (2023). Chiper, Alexandra-Maria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:chipera.

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2023Dynamic 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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2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2023Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887.

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2023Composite 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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2023Rating 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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2023Monitoring 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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2023Estimating the Currency Composition of Foreign Exchange Reserves. (2022). Ferranti, Matthew. In: Papers. RePEc:arx:papers:2206.13751.

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2023A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

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2023Efficient variational approximations for state space models. (2022). Nibbering, Didier ; Loaiza-Maya, Rub'En. In: Papers. RePEc:arx:papers:2210.11010.

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2023Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2023An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2023Bridging the Covid-19 Data and the Epidemiological Model using Time-Varying Parameter SIRD Model. (2023). Simsek, Yasin ; Cakmakli, Cem. In: Papers. RePEc:arx:papers:2301.13692.

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2023High-Dimensional Causality for Climatic Attribution. (2023). Smeekes, Stephan ; Margaritella, Luca ; Friedrich, Marina. In: Papers. RePEc:arx:papers:2302.03996.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863.

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2023Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2023sparseDFM: An R Package to Estimate Dynamic Factor Models with Sparse Loadings. (2023). Gibberd, Alex ; Chan, Tak-Shing ; Mosley, Luke. In: Papers. RePEc:arx:papers:2303.14125.

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2023GDP nowcasting with artificial neural networks: How much does long-term memory matter?. (2023). Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2304.05805.

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2023Particle MCMC in forecasting frailty correlated default models with expert opinion. (2023). Nguyen, HA. In: Papers. RePEc:arx:papers:2304.11586.

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2023Band-Pass Filtering with High-Dimensional Time Series. (2023). Proietti, Tommaso ; Lippi, Marco ; Giovannelli, Alessandro. In: Papers. RePEc:arx:papers:2305.06618.

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2023Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2023Nowcasting with signature methods. (2023). Mantoan, Giulia ; Malpass, Will ; Lui, Silvia ; Cohen, Samuel N ; Yang, Lingyi ; Small, Emma ; Scott, Craig ; Reeves, Andrew ; Nesheim, Lars. In: Papers. RePEc:arx:papers:2305.10256.

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2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

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2023Hybrid unadjusted Langevin methods for high-dimensional latent variable models. (2023). Zhu, Dan ; Nibbering, Didier ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:2306.14445.

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2023Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods. (2023). Mazzarisi, Piero ; Lillo, Fabrizio ; Tsaknaki, Ioanna-Yvonni. In: Papers. RePEc:arx:papers:2307.02375.

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2023Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series. (2023). Pipiras, Vladas ; Fisher, Zachary F ; Kim, Younghoon. In: Papers. RePEc:arx:papers:2307.10454.

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2023The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Kontoyiannis, Ioannis ; Papageorgiou, Ioannis. In: Papers. RePEc:arx:papers:2308.00913.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2023Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061.

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2023DeepVol: A Deep Transfer Learning Approach for Universal Asset Volatility Modeling. (2023). Kohn, Robert ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Liu, Chen. In: Papers. RePEc:arx:papers:2309.02072.

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2023Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach. (2023). Kulikov, Gennady ; Kulikova, Maria. In: Papers. RePEc:arx:papers:2310.04125.

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2023From Deep Filtering to Deep Econometrics. (2023). Bilokon, Paul ; Stok, Robert. In: Papers. RePEc:arx:papers:2311.06256.

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2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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2023Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309.

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2023.

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2023Forecasting banknote circulation during the COVID-19 pandemic using structural time series models. (2023). de Pastor, Raymond ; Devigne, Lucas ; Brandi, Marco ; Bartzsch, Nikolaus ; Sene, Gabriele ; Restrepo, Diana Posada ; Maddaloni, Gianluca. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_771_23.

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2023A trend-cycle decomposition with hysteresis. (2023). Roa Rozo, Julián ; Gómez-Pineda, Javier ; Roa-Rozo, Julian ; Gomez-Pineda, Javier G. In: Borradores de Economia. RePEc:bdr:borrec:1230.

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2023Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068.

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2023Dynamic logistic state space prediction model for clinical decision making. (2023). Guo, Wensheng ; Kimmel, Stephen E ; Schnellinger, Erin M ; Yang, Wei ; Jiang, Jiakun. In: Biometrics. RePEc:bla:biomet:v:79:y:2023:i:1:p:73-85.

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2023Heterogeneous predictive association of CO2 with global warming. (2023). Ramos, Andrey ; Gonzalo, Jesus ; Dolado, Juan J ; Chen, Liang. In: Economica. RePEc:bla:econom:v:90:y:2023:i:360:p:1397-1421.

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2023BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS. (2023). Strachan, Rodney. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:58-75.

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2023.

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2023.

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2023Regime switching models for circular and linear time series. (2023). Harvey, Andrew ; Palumbo, Dario. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:4:p:374-392.

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2023.

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2023Contradictory effects of technological change across developed countries. (2023). Rossen, Anja ; Ludewig, Oliver ; Blien, Uwe. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:2:p:580-608.

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2023Risky news and credit market sentiment. (2023). Thorsrud, Leif Anders ; Labonne, Paul. In: Working Papers. RePEc:bny:wpaper:0125.

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2023Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1.

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2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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2023Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1.

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2023Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach. (2023). Vespignani, Joaquin ; Vocalelli, Giorgio ; Ravazzolo, Francesco ; Grassi, Stefano. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps100.

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2023Estimation of the TFP Gap for the Largest Five EMU Countries. (2023). Rossian, Thies ; Kiessner, Felix ; Carstensen, Kai. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10245.

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2023Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366.

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2023Does U.S. Monetary Policy Respond to Macroeconomic Uncertainty?. (2023). Piccillo, Giulia ; Gomez, Thomas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10407.

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2023Persistence in Tax Revenues: Evidence from Some OECD Countries. (2023). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tapia, Silvia Garcia. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10682.

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2023Heterogeneous Predictive Association of CO2 with Global Warming. (2023). Ramos, Andrey David ; Muoz, Jesus Gonzalo ; Dolado, Juan Jose ; Chen, Liang. In: UC3M Working papers. Economics. RePEc:cte:werepe:36451.

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2023Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula. (2023). Ortega, Esther Ruiz ; Rodriguez, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37968.

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2023Nowcasting GDP using tone-adjusted time varying news topics: Evidence from the financial press. (2023). de Winter, Jasper ; van Dijk, Dorinth. In: Working Papers. RePEc:dnb:dnbwpp:766.

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2023The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area. (2023). Signoretti, Federico ; Nikolov, Kalin ; Ambrocio, Gene ; Heider, Florian ; Jovanovic, Mario ; Lewis, Vivien ; Miettinen, Pavo ; Policy, Monetary ; Bonatti, Guido ; Prieto, Esteban ; Redak, Vanessa ; Altavilla, Carlo ; Geiger, Felix ; Chalamandaris, Dimitrios ; Fourel, Valere ; Jan, Jansen David ; Kok, Christoffer ; Mazelis, Falk ; Balfoussia, Hiona ; Licak, Marek ; Patriek, Matic ; Pogulis, Armands ; Adolf, Petra ; Garabedian, Garo ; Cassar, Alan ; Weigert, Benjamin ; Fahr, Stephan ; Ioannidis, Michael ; Vlassopoulos, Thomas ; Maddaloni, Angela ; Klein, Melanie ; Papageorghiou, Maria ; Galati, Gabriele ; Fernandez, Luis ; Busch, Ulrike ; Valderrama, Maria ; Bussiere, Mat
2023Unobserved components model(s): output gaps and financial cycles. (2023). le Roux, Julien ; Guillochon, Justine. In: Working Paper Series. RePEc:ecb:ecbwps:20232832.

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2023Investor sentiment in the tourism stock market. (2023). Kou, Iokteng Esther ; Wu, Chih-Hung ; Peng, Kang-Lin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022000624.

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2023The dimension-wise quadrature estimation of dynamic latent variable models for count data. (2023). Cagnone, Silvia ; Bianconcini, Silvia. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:177:y:2023:i:c:s0167947322001657.

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2023Bayesian multivariate nonlinear state space copula models. (2023). Dalla Valle, Luciana ; Czado, Claudia ; Kreuzer, Alexander. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:188:y:2023:i:c:s0167947323001317.

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2023The long-term impact of the COVID-19 unemployment shock on life expectancy and mortality rates. (2023). Song, Dongho ; Bianchi, Giada. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002846.

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2023Monetary policy and the term structure of inflation expectations with information frictions. (2023). McNeil, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002913.

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2023Can we estimate macroforecasters’ mis-behavior?. (2023). Chini, Emilio Zanetti. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000386.

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2023Precision-based sampling for state space models that have no measurement error. (2023). Mertens, Elmar. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001264.

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2023Currency portfolio behavior in seven major Asian markets. (2023). Lin, Chinho ; Chang, Hao-Wen. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:540-559.

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2023Macroeconomic conditions, corporate default, and default clustering. (2023). Liu, Lanlan ; Luo, Dan ; Xing, Kai. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003169.

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2023Are low frequency macroeconomic variables important for high frequency electricity prices?. (2023). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003972.

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2023Sequential Bayesian analysis for semiparametric stochastic volatility model with applications. (2023). Lou, Zhusheng ; Wang, Nianling. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000998.

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2023Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. (2023). Vrins, Frederic ; Barbagli, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001335.

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2023Testing for integration and cointegration when time series are observed with noise. (2023). Pelagatti, Matteo ; Parisio, Lucia ; Maranzano, Paolo ; Gianfreda, Angelica. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001645.

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2023Cross-border Italian sovereign risk transmission in EMU countries. (2023). Napolitano, Oreste ; Fiorelli, Cristiana ; D'Uva, Marcella ; Capasso, Salvatore. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002365.

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2023Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels. (2023). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s106294082300058x.

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2023A spatial panel quantile model with unobserved heterogeneity. (2023). Lu, Lina ; Li, Kunpeng ; Ando, Tomohiro. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:191-213.

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2023Factor-based imputation of missing values and covariances in panel data of large dimensions. (2023). Bai, Jushan ; Ng, Serena ; Cahan, Ercument. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:113-131.

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2023Large dimensional latent factor modeling with missing observations and applications to causal inference. (2023). Pelger, Markus ; Xiong, Ruoxuan. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:271-301.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086.

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2023Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499.

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2023Estimation and inference in factor copula models with exogenous covariates. (2023). Wied, Dominik ; Mayer, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1500-1521.

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2023Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model. (2023). Timmermann, Allan ; Sabbatucci, Riccardo ; Pettenuzzo, Davide. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1522-1541.

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2023Identifying latent group structures in spatial dynamic panels. (2023). Su, Liangjun ; Xu, Xingbai ; Wang, Wuyi. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1955-1980.

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2023Stochastic properties of nonlinear locally-nonstationary filters. (2023). Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2082-2095.

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2023Dynamic Tobit models. (2023). Liao, Yin ; Harvey, Andew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:72-83.

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2023Seasonality in High Frequency Time Series. (2023). Proietti, Tommaso ; Pedregal, Diego J. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:62-82.

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2023Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29.

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2023Implicit Copulas: An Overview. (2023). Smith, Michael Stanley. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:81-104.

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2023Euro area sovereign bond risk premia before and during the Covid-19 pandemic. (2023). Schwaab, Bernd ; Corradin, Stefano. In: European Economic Review. RePEc:eee:eecrev:v:153:y:2023:i:c:s0014292123000314.

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2023Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074.

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2023A unified theory for bivariate scores in possessive ball-sports: The case of handball. (2023). Baker, Rose ; Scarf, Phil ; Singh, Aaditya. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1099-1112.

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2023Machine learning for corporate default risk: Multi-period prediction, frailty correlation, loan portfolios, and tail probabilities. (2023). Leuenberger, Nicola ; Sigrist, Fabio. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1390-1406.

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2023Lumpy and intermittent retail demand forecasts with score-driven models. (2023). Borenstein, Denis ; Fernandes, Cristiano ; Sarlo, Rodrigo. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:3:p:1146-1160.

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2023The dark side of Bitcoin: Do Emerging Asian Islamic markets help subdue the ethical risk?. (2023). Vigne, Samuel A ; Naeem, Muhammad Abubakr ; Lucey, Brian M ; Karim, Sitara. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122000383.

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2023An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models. (2023). Nguyen, HA. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:103-121.

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2023Estimating and testing skewness in a stochastic volatility model. (2023). Ho, Kyu ; Lee, Cheol Woo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:445-467.

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2023Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2023). Javed, Farrukh ; Nguyen, Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:272-292.

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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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paper
2009Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates In: CREATES Research Papers.
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paper11
2014SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES.(2014) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 11
article
2019Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors In: CREATES Research Papers.
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paper7
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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paper3
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers.
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paper6
2018Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models.(2018) In: Post-Print.
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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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article149
2005Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices.(2005) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 149
paper
1992Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article162
1997The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]
article41
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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article51
2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
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article43
2008A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics.
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article23
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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article72
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics.
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article133
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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This paper has nother version. Agregated cites: 133
paper
2010Common business and housing market cycles in the Euro area from a multivariate decomposition. In: Working papers.
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paper17
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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This paper has nother version. Agregated cites: 2
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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article36
2012A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League.(2012) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 36
paper
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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article5
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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article99
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
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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paper
2009Seasonality with trend and cycle interactions in unobserved components models In: Journal of the Royal Statistical Society Series C.
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article7
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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article4
2000Fast Filtering and Smoothing for Multivariate State Space Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article84
1998Fast Filtering and Smoothing for Multivariate State Space Models.(1998) In: Discussion Paper.
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This paper has nother version. Agregated cites: 84
paper
1998Fast Filtering and Smoothing for Multivariate State Space Models.(1998) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 84
paper
2003Filtering and smoothing of state vector for diffuse state?space models In: Journal of Time Series Analysis.
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article33
2010Likelihood functions for state space models with diffuse initial conditions In: Journal of Time Series Analysis.
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article23
2008Likelihood Functions for State Space Models with Diffuse Initial Conditions.(2008) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 23
paper
2017Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis.
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article35
2014Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers.
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paper
2002Constructing Seasonally Adjusted Data with Time?varying Confidence Intervals In: Oxford Bulletin of Economics and Statistics.
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article4
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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article44
2009Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* In: Oxford Bulletin of Economics and Statistics.
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article5
2006Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment.(2006) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 5
paper
2022Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies In: Oxford Bulletin of Economics and Statistics.
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article6
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.
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article13
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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This paper has nother version. Agregated cites: 13
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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This paper has nother version. Agregated cites: 0
paper
2019Modified efficient importance sampling for partially non?Gaussian state space models In: Statistica Neerlandica.
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article2
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.
[Citation analysis]
paper3
1995The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in Journal of Business and Economic Statistics, 15 (1997), pp.354-368.) In: STICERD - Econometrics Paper Series.
[Citation analysis]
paper0
1996Multivariate Structural Time Series Models - (Now published in System Dynamics in Economic and Financial Models, CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997 In: STICERD - Econometrics Paper Series.
[Citation analysis]
paper2
1997Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.) In: STICERD - Econometrics Paper Series.
[Citation analysis]
paper0
2011Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series.
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paper35
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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paper33
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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paper67
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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This paper has nother version. Agregated cites: 67
article
2016The information in systemic risk rankings In: Working Paper Series.
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paper32
2016The information in systemic risk rankings.(2016) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 32
article
2015The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 32
paper
2016Global credit risk: world country and industry factors In: Working Paper Series.
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paper19
2015Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 19
paper
2017Global Credit Risk: World, Country and Industry Factors.(2017) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 19
article
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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This paper has nother version. Agregated cites: 20
paper
2000Computing Observation Weights for Signal Extraction and Filtering In: Econometric Society World Congress 2000 Contributed Papers.
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paper72
2003Computing observation weights for signal extraction and filtering.(2003) In: Journal of Economic Dynamics and Control.
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This paper has nother version. Agregated cites: 72
article
1999Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal.
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article228
1998Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Discussion Paper.
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paper
1998Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 228
paper
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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This paper has nother version. Agregated cites: 53
paper
1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 53
paper
2006Forecasting daily time series using periodic unobserved components time series models In: Computational Statistics & Data Analysis.
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article11
2004Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models.(2004) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 11
paper
2006Special Issue on Nonlinear Modelling and Financial Econometrics In: Computational Statistics & Data Analysis.
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article3
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]
article11
2014Long memory with stochastic variance model: A recursive analysis for US inflation In: Computational Statistics & Data Analysis.
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article13
2011Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control.
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article53
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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article3
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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article79
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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article62
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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article21
2011Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics.
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article81
2014Generalized dynamic panel data models with random effects for cross-section and time In: Journal of Econometrics.
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article4
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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article17
2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
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article69
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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article5
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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article4
2020Partially censored posterior for robust and efficient risk evaluation In: Journal of Econometrics.
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article3
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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This paper has nother version. Agregated cites: 2
paper
2022A time-varying parameter model for local explosions In: Journal of Econometrics.
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article2
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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article24
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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article23
1998Estimation of stochastic volatility models via Monte Carlo maximum likelihood In: Journal of Econometrics.
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article140
2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements In: Journal of Empirical Finance.
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2004Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements.(2004) In: Computing in Economics and Finance 2004.
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2004Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements.(2004) In: Tinbergen Institute Discussion Papers.
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2009Credit cycles and macro fundamentals In: Journal of Empirical Finance.
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article65
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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This paper has nother version. Agregated cites: 65
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2014Long memory dynamics for multivariate dependence under heavy tails In: Journal of Empirical Finance.
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article25
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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article46
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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article0
2013Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model In: International Journal of Forecasting.
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article14
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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article26
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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article6
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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article18
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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article12
2019Forecasting football match results in national league competitions using score-driven time series models In: International Journal of Forecasting.
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article16
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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article9
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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1996Maximum likelihood estimation of stochastic volatility models In: LSE Research Online Documents on Economics.
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2006Model-Based Measurement of Actual Volatility in High-Frequency Data In: Advances in Econometrics.
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2005Model-based Measurement of Actual Volatility in High-Frequency Data.(2005) In: Tinbergen Institute Discussion Papers.
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1999MESSY TIME SERIES In: Advances in Econometrics.
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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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2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models * In: Working 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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