Siem Jan Koopman : Citation Profile

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

37

H index

85

i10 index

6348

Citations

RESEARCH PRODUCTION:

117

Articles

161

Papers

3

Books

3

Chapters

EDITOR:

3

Books edited

RESEARCH ACTIVITY:

   32 years (1992 - 2024). See details.
   Cites by year: 198
   Journals where Siem Jan Koopman has often published
   Relations with other researchers
   Recent citing documents: 357.    Total self citations: 208 (3.17 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pko46
   Updated: 2025-12-13    RAS profile: 2024-11-09    
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Relations with other researchers

Works with:

Lucas, Andre (4)

Blasques, Francisco (4)

van Brummelen, Janneke (4)

Schaumburg, Julia (2)

Hillebrand, Eric (2)

Li, Mengheng (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 (219)

Proietti, Tommaso (150)

Harvey, Andrew (117)

Schwaab, Bernd (79)

Asai, Manabu (73)

Ruiz, Esther (69)

Schaumburg, Julia (55)

Zhang, Xin (54)

Blazsek, Szabolcs (52)

Francq, Christian (50)

Shephard, Neil (48)

Cites to:

Lucas, Andre (205)

Reichlin, Lucrezia (159)

Shephard, Neil (134)

Giannone, Domenico (123)

Harvey, Andrew (119)

Creal, Drew (110)

Bollerslev, Tim (109)

Watson, Mark (101)

Engle, Robert (95)

Diebold, Francis (79)

Blasques, Francisco (48)

Main data

Where Siem Jan Koopman has published?

Journals with more than one article published# docs
Journal of Econometrics19
International Journal of Forecasting10
Journal of Applied Econometrics9
Journal of Business & Economic Statistics8
Journal of Financial Econometrics5
Computational Statistics & Data Analysis5
Journal of Empirical Finance4
Econometric Reviews4
Journal of Applied Econometrics4
Journal of Time Series Analysis4
Oxford Bulletin of Economics and Statistics4
Statistica Neerlandica4
The Review of Economics and Statistics3
Journal of Business & Economic Statistics3
Journal of the Royal Statistical Society Series A3
Biometrika3
Journal of the Royal Statistical Society Series C2
Journal of Economic Dynamics and Control2
Journal of Forecasting2
Econometrics Journal2
Economics Letters2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute114
Working Paper Series / European Central Bank5
Post-Print / HAL2
Computing in Economics and Finance 1999 / Society for Computational Economics2

Recent works citing Siem Jan Koopman (2025 and 2024)

YearTitle of citing document
2024Measuring and benchmarking time-varying market efficiency. (2024). Mu, Yali. In: IAAE 2024 Conference, August 2-7, 2024, New Delhi, India. RePEc:ags:cfcp15:344294.

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2024A Hodrick-Prescott filter with automatically selected jumps. (2024). Pelagatti, Matteo ; Maranzano, Paolo. In: FEEM Working Papers. RePEc:ags:feemwp:344134.

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2025Distributional Dynamics. (2025). Kuhn, Moritz ; Bayer, Christian ; Calderon, Luis. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:351.

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2025.

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2025.

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2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2024). Blasques, Francisco ; Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1812.07318.

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2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2024). Luciani, Matteo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2024Asymmetric uncertainty : Nowcasting using skewness in real-time data. (2024). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2025Approximate Factor Models for Functional Time Series. (2025). Otto, Sven ; Salish, Nazarii. In: Papers. RePEc:arx:papers:2201.02532.

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2024A Neural Phillips Curve and a Deep Output Gap. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2202.04146.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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2024A semi-parametric dynamic conditional correlation framework for risk forecasting. (2024). Storti, Giuseppe ; Wang, Chao. In: Papers. RePEc:arx:papers:2207.04595.

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2024Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2024). van Huellen, Sophie ; Dellaportas, Petros ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2024). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2024High-Dimensional Granger Causality for Climatic Attribution. (2024). Smeekes, Stephan ; Margaritella, Luca ; Friedrich, Marina. In: Papers. RePEc:arx:papers:2302.03996.

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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2025GDP nowcasting with artificial neural networks: How much does long-term memory matter?. (2025). , Krist'Of ; Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2304.05805.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods. (2024). Mazzarisi, Piero ; Tsaknaki, Ioanna-Yvonni ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2307.02375.

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2025Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series. (2025). Fisher, Zachary F ; Kim, Younghoon ; Pipiras, Vladas. In: Papers. RePEc:arx:papers:2307.10454.

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2025The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Papageorgiou, Ioannis ; Kontoyiannis, Ioannis. In: Papers. RePEc:arx:papers:2308.00913.

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2025Global Neural Networks and The Data Scaling Effect in Financial Time Series Forecasting. (2025). Kohn, Robert ; Gerlach, Richard ; Tran, Minh-Ngoc ; Liu, Chen ; Wang, Chao. In: Papers. RePEc:arx:papers:2309.02072.

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2025Bubble Modeling and Tagging: A Stochastic Nonlinear Autoregression Approach. (2025). Yang, Xuanling ; Zhang, Ting ; Li, Dong. In: Papers. RePEc:arx:papers:2401.07038.

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2025A Quantile Nelson-Siegel model. (2024). Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo ; Zhu, Dan. In: Papers. RePEc:arx:papers:2401.09874.

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2024On Bayesian Filtering for Markov Regime Switching Models. (2024). Maih, Junior ; Kirsanova, Tatiana ; Hashimzade, Nigar. In: Papers. RePEc:arx:papers:2402.08051.

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2024Comparing MCMC algorithms in Stochastic Volatility Models using Simulation Based Calibration. (2024). Wee, Benjamin. In: Papers. RePEc:arx:papers:2402.12384.

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2024Convolution-t Distributions. (2024). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2404.00864.

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2024Non-stationary Financial Risk Factors and Macroeconomic Vulnerability for the UK. (2024). Szendrei, Tibor ; Varga, Katalin. In: Papers. RePEc:arx:papers:2404.01451.

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2025Statistical Validation of Contagion Centrality in Financial Networks. (2025). Feinstein, Zachary ; Sadeghi, Agathe. In: Papers. RePEc:arx:papers:2404.14337.

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2024Calibration of the rating transition model for high and low default portfolios. (2024). Spreij, Peter ; He, Jian ; Khedher, Asma. In: Papers. RePEc:arx:papers:2405.00576.

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2024Generating density nowcasts for U.S. GDP growth with deep learning: Bayes by Backprop and Monte Carlo dropout. (2024). , Krist'Of ; Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2405.15579.

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2024Cluster GARCH. (2024). Hansen, Peter ; Archakov, Ilya ; Tong, Chen. In: Papers. RePEc:arx:papers:2406.06860.

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2024Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity. (2024). Ruiz, Esther ; Rodriguez Caballero, Carlos. In: Papers. RePEc:arx:papers:2406.14145.

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2024CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2024Monopoly Unveiled: Telecom Breakups in the US and Mexico. (2024). Rodriguez Caballero, Carlos ; Trillo, Fausto Hern'Andez ; Ventosa-Santaularia, Daniel. In: Papers. RePEc:arx:papers:2407.09695.

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2024Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Papers. RePEc:arx:papers:2408.02391.

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2025ARMA-Design: Optimal Treatment Allocation Strategies for A/B Testing in Partially Observable Time Series Experiments. (2025). Kong, Linglong ; Sun, KE ; Zhu, Hongtu ; Shi, Chengchun. In: Papers. RePEc:arx:papers:2408.05342.

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2024Modeling the Dynamics of Growth in Master-Planned Communities. (2024). Gabashvili, Irene S ; Allsup, Christopher K. In: Papers. RePEc:arx:papers:2408.14214.

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2024Dynamic tail risk forecasting: what do realized skewness and kurtosis add?. (2024). Gallo, Giampiero ; Storti, Giuseppe ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:2409.13516.

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2025The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao. In: Papers. RePEc:arx:papers:2409.14734.

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2025A Spatio-Temporal Machine Learning Model for Mortgage Credit Risk: Default Probabilities and Loan Portfolios. (2024). Sigrist, Fabio ; Kundig, Pascal. In: Papers. RePEc:arx:papers:2410.02846.

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2024How to Compare Copula Forecasts?. (2024). Hoga, Yannick ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2410.04165.

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2024Optimal life insurance and annuity decision under money illusion. (2024). Wei, Pengyu ; Li, Wenyuan. In: Papers. RePEc:arx:papers:2410.20128.

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2025Zero-Coupon Treasury Rates and Returns using the Volatility Index. (2025). Sarantsev, Andrey ; Park, Ji Hyun. In: Papers. RePEc:arx:papers:2411.03699.

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2024Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658.

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2024From rotational to scalar invariance: Enhancing identifiability in score-driven factor models. (2024). Dzuverovic, Emilija ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Papers. RePEc:arx:papers:2412.01367.

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2025The Global Carbon Budget as a cointegrated system. (2025). Nielsen, Morten ; Hillebrand, Eric ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2412.09226.

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2024Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791.

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2025Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2025High-frequency Density Nowcasts of U.S. State-Level Carbon Dioxide Emissions. (2025). Garr, Ignacio ; Ramos, Andrey. In: Papers. RePEc:arx:papers:2501.03380.

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2025Marketron games: Self-propelling stocks vs dumb money and metastable dynamics of the Good, Bad and Ugly markets. (2025). Itkin, A ; Halperin, I. In: Papers. RePEc:arx:papers:2501.12676.

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2025Quasi maximum likelihood estimation of high-dimensional approximate dynamic matrix factor models via the EM algorithm. (2025). Barigozzi, Matteo ; Trapin, Luca. In: Papers. RePEc:arx:papers:2502.04112.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025Dynamic Factor Correlation Model. (2025). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2503.01080.

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2025Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH. (2025). Suresh, Sathvika Thorali ; Singh, Aryan ; Reilly, Paul O ; Sharif, Daim ; Haughey, Patrick ; Kumar, Adarsh Sajeev ; Anvar, Aakhil ; McCarthy, Eoghan. In: Papers. RePEc:arx:papers:2505.06950.

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2025Sustainability of cities under declining population and decreasing distance frictions: The case of Japan. (2025). Mori, Tomoya ; Murakami, Daisuke. In: Papers. RePEc:arx:papers:2505.08333.

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2025Do Betting Markets Sense a Goal Coming? Evidence from the German Bundesliga. (2025). Deutscher, Christian ; Winkelmann, David. In: Papers. RePEc:arx:papers:2505.21275.

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2025Pricing American options with exogenous and endogenous transaction costs. (2025). He, Xin-Jiang ; Yan, Dong ; Huang, Xin-Jie ; Ma, Guiyuan. In: Papers. RePEc:arx:papers:2509.00485.

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2025Prospects of Imitating Trading Agents in the Stock Market. (2025). Wilinski, Mateusz ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:2509.00982.

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2025Long memory score-driven models as approximations for rough Ornstein-Uhlenbeck processes. (2025). Wu, Yinhao ; He, Ping. In: Papers. RePEc:arx:papers:2509.09105.

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2025Adaptive Temporal Fusion Transformers for Cryptocurrency Price Prediction. (2025). Sarram, Mehdi Agha ; Fard, Amin Milani ; Zare, Mohammad Ali ; Peik, Arash. In: Papers. RePEc:arx:papers:2509.10542.

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2025Stabilising Lifetime PD Models under Forecast Uncertainty. (2025). Rostampour, Vahab. In: Papers. RePEc:arx:papers:2509.10586.

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2025Generalized Covariance Estimator under Misspecification and Constraints. (2025). Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2509.13492.

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2025Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models. (2025). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2546.

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2025A Market-Based Approach to Reverse Stress Testing the Financial System. (2025). Ojea Ferreiro, Javier. In: Staff Working Papers. RePEc:bca:bocawp:25-32.

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2025Perceived interconnections between Canadian banks and non-bank financial intermediaries under stress. (2025). Ojea Ferreiro, Javier. In: Staff Analytical Notes. RePEc:bca:bocsan:25-26.

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2024Bank beliefs and firm lending: evidence from Italian loan-level data. (2024). Farroni, Paolo ; Tozzo, Jacopo. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1469_24.

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2024Business Cycles when Consumers Learn by Shopping. (2024). Gutiérrez-Daza, Ángelo ; Gutierrez-Daza, Angelo. In: Working Papers. RePEc:bdm:wpaper:2024-12.

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2025Innovations Meet Narratives -Improving the Power-Credibility Trade-off in Macro. (2025). Barnichon, Raegis ; Mesters, Geert. In: Working Papers. RePEc:bge:wpaper:1475.

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2024Covered interest parity: a forecasting approach to estimate the neutral band. (2024). Hernandez, Juan. In: BIS Working Papers. RePEc:bis:biswps:1206.

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2025Estimation and Forecasting of Russian Money Market Yield Curves. (2025). Magzhanov, Timur ; Fedorov, Dmitry ; Kartaev, Philipp. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:84:y:2025:i:2:p:36-64.

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2024Estimating perennial crop supply response: A methodology literature review. (2024). Tregeagle, Daniel ; Plakias, Zoe ; Siegle, Jonathon ; Astill, Gregory. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:2:p:159-180.

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2024Future directions in nowcasting economic activity: A systematic literature review. (2024). Pekarskiene, Irena ; Lukauskas, Mantas ; Grybauskas, Andrius ; Bruneckiene, Jurgita ; Pilinkiene, Vaida ; Stundziene, Alina. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1199-1233.

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2025The global financial cycle and capital flows: Taking stock. (2025). Scheubel, Beatrice ; Stracca, Livio ; Tille, Cdric. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:39:y:2025:i:3:p:779-805.

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2024Do Financial Markets Respond to Populist Rhetoric?. (2024). Gne, Gkhan Ahn ; Demralp, Selva ; Akmakli, Cem. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:3:p:541-567.

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2024Multivariate Trend‐Cycle‐Seasonal Decompositions with Correlated Innovations. (2024). Jacobs, Jan ; Osborn, Denise R ; Tian, Jing. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:5:p:1260-1289.

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2024Evaluating the pinnacle of football match key statistics as in‐play information for determining the match outcome of Europes foremost leagues. (2024). Shasha, Wang ; Xiaoyu, Fan. In: Social Science Quarterly. RePEc:bla:socsci:v:105:y:2024:i:3:p:775-799.

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2024Testing for jumps with robust spot volatility estimators. (2024). Sun, Yucheng. In: Statistica Neerlandica. RePEc:bla:stanee:v:78:y:2024:i:1:p:79-104.

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2024A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis. (2024). Yao, Wenying ; Poon, Aubrey ; Cross, Jamie ; Zhu, Dan. In: Working Papers. RePEc:bny:wpaper:0133.

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2024Has the Phillips curve flattened?. (2024). Rossi, Barbara ; Inoue, Atsushi ; Wang, Yiru. In: French Stata Users' Group Meetings 2024. RePEc:boc:fsug24:22.

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2025Distributional Dynamics. (2025). Kuhn, Moritz ; Bayer, Christian ; Calderon, Luis. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2025_625.

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2024Forecasting epidemic trajectories: Time Series Growth Curves package tsgc. (2024). Harvey, Andrew ; Kattuman, P ; Ashby, M ; Thamotheram, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2407.

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2024Hidden Threshold Models with applications to asymmetric cycles. (2024). Harvey, Andrew ; Simons, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2448.

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2025Modeling Prices from Speculative Markets: Bursting Bubbles or Deflating Balloons?. (2025). Harvey, A C ; Hafner, C ; Wang, L. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2523.

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2025A Survey-Based Shifting-Endpoint Dynamic Term Structure Model of Interest Rates: Working Paper 2025-03. (2025). McGrane, Michael. In: Working Papers. RePEc:cbo:wpaper:60888.

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2024Learning about the Long Run. (2024). Nakamura, Emi ; Farmer, Leland E ; Steinsson, JN. In: Department of Economics, Working Paper Series. RePEc:cdl:econwp:qt0tn1s1hp.

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2024On Bayesian Filtering for Markov Regime Switching Models. (2024). Maih, Junior ; Kirsanova, Tatiana ; Hashimzade, Nigar. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10941.

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2024Are We Fragmented Yet? Measuring Geopolitical Fragmentation and Its Causal Effects. (2024). Song, Dongho ; Fernandez-Villaverde, Jesus ; Mineyama, Tomohide. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11192.

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2025Air Supremacy Is Not Enough: The Effect of Drone and Air Strikes on Terrorist Attacks in Somalia and Yemen. (2025). Santi, Flavio ; Ricciuti, Roberto ; Foresta, Alessandra ; Baronchelli, Adelaide ; Tefera, Tadele. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12242.

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2025Data-Driven Learning About Trend Productivity Growth. (2025). van Norden, Simon ; Jacobs, Jan ; Goto, Eiji. In: CIRANO Working Papers. RePEc:cir:cirwor:2025s-29.

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2025Dynare: Reference Manual, Version 6. (2025). Villemot, Sébastien ; Pfeifer, Johannes ; Mutschler, Willi ; Juillard, Michel ; Adjemian, Stéphane ; Rion, Normann ; Ratto, Marco ; Karame, Frederic. In: Dynare Working Papers. RePEc:cpm:dynare:080.

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2025Conditioning business and financial cycles on multivariate information. (2025). Schroeder, Adrian ; Dubbert, Tore. In: CQE Working Papers. RePEc:cqe:wpaper:11225.

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2024Global, Arctic, and Antarctic sea ice volume predictions: using score-driven threshold climate models. (2024). Escribano, Alvaro ; Blazsek, Szabolcs ; Kristof, Erzsebet. In: UC3M Working papers. Economics. RePEc:cte:werepe:39546.

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2024Anthropogenic effects of climate change: Further evidence from a fractionally integrated ice-age model. (2024). Escribano, Alvaro ; Blazsek, Szabolcs ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:44712.

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2025Threshold effects of CO₂ on Sea-Ice Volume:Empirical Evidence with Data from Global Circulation Models of the Arctic and Antarctic. (2025). Rodrguez, Juan Andrs ; Escribano, Lvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:48471.

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2024Harnessing Machine Learning for Real-Time Inflation Nowcasting. (2024). Schnorrenberger, Richard ; Moura, Guilherme Valle ; Schmidt, Aishameriane. In: Working Papers. RePEc:dnb:dnbwpp:806.

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2025Economic uncertainty and the redistributive effect of taxes and transfers in the UK and the US since the 1980s. (2025). Claveria, Oscar ; Sori, Petar. In: Economics Bulletin. RePEc:ebl:ecbull:eb-24-00216.

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2024ECB macroeconometric models for forecasting and policy analysis. (2024). Von-Pine, Eliott ; Santoro, Sergio ; Priftis, Romanos ; Paredes, Joan ; DARRACQ PARIES, Matthieu ; Banbura, Marta ; Ciccarelli, Matteo ; Angelini, Elena ; Babura, Marta ; Montes-Galdon, Carlos ; Brunotte, Stella ; Invernizzi, Marco ; Kornprobst, Antoine ; Zimic, Sreko ; Lalik, Magdalena ; Warne, Anders ; Gumiel, Jose Emilio ; Giammaria, Alessandro ; Cocchi, Sara ; Koutsoulis, Iason ; Rigato, Rodolfo Dinis ; Kase, Hanno ; Muller, Georg ; Bokan, Nikola ; Fagan, Gabriel. In: Occasional Paper Series. RePEc:ecb:ecbops:2024344.

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2025The taming of the skew: asymmetric inflation risk and monetary policy. (2025). Petrella, Ivan ; Melosi, Leonardo ; de Polis, Andrea. In: Working Paper Series. RePEc:ecb:ecbwps:20253028.

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2024Introducing sspaneltvp: a code to estimating state-space time varying parameter models in panels. An application to Okun’s law.. (2024). Tamarit, Cecilio ; Camarero, Mariam ; Sapena, Juan. In: Working Papers. RePEc:eec:wpaper:2405.

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

Siem Jan Koopman has edited the books:

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Works by Siem Jan Koopman:

YearTitleTypeCited
2007Long memory modelling of inflation with stochastic variance and structural breaks In: CREATES Research Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper18
2021Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors.(2021) In: Energy Economics.
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This paper has nother version. Agregated cites: 18		article
2020A statistical model of the global carbon budget In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers.
[Full Text][Citation analysis]		paper11
2018Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models.(2018) In: Post-Print.
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2007Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article160
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: 160		paper
1992Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article163
1997The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article42
2004State Space Models With a Common Stochastic Variance In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article11
2006Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article58
2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article48
2008A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article25
2005A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: Tinbergen Institute Discussion Papers.
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2010Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson€“Siegel Model With Time-Varying Parameters In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article82
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article149
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2011) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 149		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: 149		paper
2010Common business and housing market cycles in the Euro area from a multivariate decomposition. In: Working papers.
[Full Text][Citation analysis]		paper18
2008Model‐based measurement of latent risk in time series with applications In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article2
2005Model-based Measurement of Latent Risk in Time Series with Applications.(2005) In: Tinbergen Institute Discussion Papers.
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2015A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article43
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: 43		paper
2019The analysis and forecasting of tennis matches by using a high dimensional dynamic model In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article8
2000Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article104
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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This paper has nother version. Agregated cites: 104		paper
2009Seasonality with trend and cycle interactions in unobserved components models In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]		article8
2008Seasonality with Trend and Cycle Interactions in Unobserved Components Models.(2008) In: Tinbergen Institute Discussion Papers.
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2010Multivariate non‐linear time series modelling of exposure and risk in road safety research In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]		article4
2000Fast Filtering and Smoothing for Multivariate State Space Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article95
1998Fast Filtering and Smoothing for Multivariate State Space Models.(1998) In: Discussion Paper.
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1998Fast Filtering and Smoothing for Multivariate State Space Models.(1998) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 95		paper
2003Filtering and smoothing of state vector for diffuse state‐space models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article37
2010Likelihood functions for state space models with diffuse initial conditions In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article25
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: 25		paper
2017Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article51
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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article44
2009Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article6
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: 6		paper
2022Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article9
2002Discussion of ‘MCMC‐based inference’ by R. Paap In: Statistica Neerlandica.
[Full Text][Citation analysis]		article0
2003Time Series Modelling of Daily Tax Revenues In: Statistica Neerlandica.
[Full Text][Citation analysis]		article13
1999Time-Series Modelling of Daily Tax Revenues.(1999) In: Computing in Economics and Finance 1999.
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2001Time Series Modelling of Daily Tax Revenues.(2001) In: Tinbergen Institute Discussion Papers.
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2008Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model In: Statistica Neerlandica.
[Full Text][Citation analysis]		article0
2007Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model.(2007) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 0		paper
2019Modified efficient importance sampling for partially non‐Gaussian state space models In: Statistica Neerlandica.
[Full Text][Citation analysis]		article2
2004Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper38
2012Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 In: Working Paper Series.
[Full Text][Citation analysis]		paper36
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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This paper has nother version. Agregated cites: 36		article
2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
[Full Text][Citation analysis]		paper76
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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This paper has nother version. Agregated cites: 76		article
2016The information in systemic risk rankings In: Working Paper Series.
[Full Text][Citation analysis]		paper34
2016The information in systemic risk rankings.(2016) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 34		article
2015The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 34		paper
2016Global credit risk: world country and industry factors In: Working Paper Series.
[Full Text][Citation analysis]		paper22
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: 22		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: 22		article
2004Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper20
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.
[Full Text][Citation analysis]		paper80
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: 80		article
1999Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal.
[Citation analysis]		article229
1998Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Discussion Paper.
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1998Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 229		paper
2000Signal extraction and the formulation of unobserved components models In: Econometrics Journal.
[Citation analysis]		article54
1999Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper.
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This paper has nother version. Agregated cites: 54		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: 54		paper
2006Forecasting daily time series using periodic unobserved components time series models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article3
2010Exact maximum likelihood estimation for non-stationary periodic time series models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article6
2012Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article12
2014Long memory with stochastic variance model: A recursive analysis for US inflation In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article13
2011Maximum likelihood estimation for dynamic factor models with missing data In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article55
2011Maximum likelihood estimation for dynamic factor models with missing data.(2011) In: Post-Print.
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This paper has nother version. Agregated cites: 55		paper
2016Intervention time series analysis of crime rates: The case of sentence reform in Virginia In: Economic Modelling.
[Full Text][Citation analysis]		article3
2016Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area In: Economics Letters.
[Full Text][Citation analysis]		article95
2016Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area.(2016) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 95		paper
2024A robust Beveridge–Nelson decomposition using a score-driven approach with an application In: Economics Letters.
[Full Text][Citation analysis]		article1
2024A robust Beveridge-Nelson decomposition using a score-driven approach with an application.(2024) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 1		paper
2008The multi-state latent factor intensity model for credit rating transitions In: Journal of Econometrics.
[Full Text][Citation analysis]		article65
2005The Multi-State Latent Factor Intensity Model for Credit Rating Transitions.(2005) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 65		paper
2009Testing the assumptions behind importance sampling In: Journal of Econometrics.
[Full Text][Citation analysis]		article21
2011Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics.
[Full Text][Citation analysis]		article88
2014Generalized dynamic panel data models with random effects for cross-section and time In: Journal of Econometrics.
[Full Text][Citation analysis]		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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2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
[Full Text][Citation analysis]		article79
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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This paper has nother version. Agregated cites: 79		paper
2019Accelerating score-driven time series models In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
2020Long-term forecasting of El Niño events via dynamic factor simulations In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2020The dynamic factor network model with an application to international trade In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2020Partially censored posterior for robust and efficient risk evaluation In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2019Partially Censored Posterior for Robust and Efficient Risk Evaluation.(2019) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 3		paper
2021Missing observations in observation-driven time series models In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
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: 3		paper
2022A time-varying parameter model for local explosions In: Journal of Econometrics.
[Full Text][Citation analysis]		article4
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.
[Full Text][Citation analysis]		article40
2017Maximum Likelihood Estimation for Score-Driven Models.(2017) In: Tinbergen Institute Discussion Papers.
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2023Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
2020Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects.(2020) In: Tinbergen Institute Discussion Papers.
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2023Time-Varying Parameters in Econometrics: The editor’s foreword In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2024Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions In: Journal of Econometrics.
[Full Text][Citation analysis]		article4
2024Observation-driven filtering of time-varying parameters using moment conditions In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
1997Detecting shocks: Outliers and breaks in time series In: Journal of Econometrics.
[Full Text][Citation analysis]		article25
1998Estimation of stochastic volatility models via Monte Carlo maximum likelihood In: Journal of Econometrics.
[Full Text][Citation analysis]		article151
2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article357
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.
[Citation analysis]
This paper has nother version. Agregated cites: 357		paper
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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This paper has nother version. Agregated cites: 357		paper
2009Credit cycles and macro fundamentals In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article67
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.
[Full Text][Citation analysis]		article30
2011Long Memory Dynamics for Multivariate Dependence under Heavy Tails.(2011) In: Tinbergen Institute Discussion Papers.
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2008An hourly periodic state space model for modelling French national electricity load In: International Journal of Forecasting.
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2008An Hourly Periodic State Space Model for Modelling French National Electricity Load.(2008) In: Tinbergen Institute Discussion Papers.
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2010Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments In: International Journal of Forecasting.
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2013Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model In: International Journal of Forecasting.
[Full Text][Citation analysis]		article15
2011Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model.(2011) In: Tinbergen Institute Discussion Papers.
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2014Forecasting macroeconomic variables using collapsed dynamic factor analysis In: International Journal of Forecasting.
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2012Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis.(2012) In: Tinbergen Institute Discussion Papers.
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2014Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting.
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2016In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models In: International Journal of Forecasting.
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2015In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models.(2015) In: Tinbergen Institute Discussion Papers.
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2016Forecasting and nowcasting economic growth in the euro area using factor models In: International Journal of Forecasting.
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2019Forecasting football match results in national league competitions using score-driven time series models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article19
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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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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2006Trend-Cycle Decomposition Models with Smooth-Transition Parameters: Evidence from U.S. Economic Time Series In: Contributions to Economic Analysis.
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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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This paper has nother version. Agregated cites: 115		article
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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2012Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing In: Journal of Financial Econometrics.
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2009Spot Variance Path Estimation and its Application to High Frequency Jump Testing.(2009) In: Tinbergen Institute Discussion Papers.
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2016Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model.(2016) In: Tinbergen Institute Discussion Papers.
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2003Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area.(2003) In: Tinbergen Institute Discussion Papers.
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2001An efficient and simple simulation smoother for state space time series analysis In: Computing in Economics and Finance 2001.
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2020Estimation of final standings in football competitions with premature ending: the case of COVID-19.(2020) In: Tinbergen Institute Discussion Papers.
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2010Modeling Trigonometric Seasonal Components for Monthly Economic Time Series.(2010) In: Tinbergen Institute Discussion Papers.
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2015Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model.(2015) In: Tinbergen Institute Discussion Papers.
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2012Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models.(2012) In: Tinbergen Institute Discussion Papers.
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2000The Stochastic Volatility in Mean Model In: Tinbergen Institute Discussion Papers.
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2002Stock Index Volatility Forecasting with High Frequency Data In: Tinbergen Institute Discussion Papers.
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2014Likelihood-based Analysis for Dynamic Factor Models In: Tinbergen Institute Discussion Papers.
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