Siem Jan Koopman : Citation Profile

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

36

H index

84

i10 index

6113

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: 191
   Journals where Siem Jan Koopman has often published
   Relations with other researchers
   Recent citing documents: 252.    Total self citations: 206 (3.26 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pko46
   Updated: 2025-04-12    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)

Hillebrand, Eric (2)

Li, Mengheng (2)

Schaumburg, Julia (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 (194)

Proietti, Tommaso (150)

Harvey, Andrew (117)

Schwaab, Bernd (79)

Asai, Manabu (73)

Ruiz, Esther (69)

Zhang, Xin (54)

Blazsek, Szabolcs (49)

Shephard, Neil (48)

Schaumburg, Julia (46)

Escribano, Alvaro (46)

Cites to:

Lucas, Andre (205)

Reichlin, Lucrezia (159)

Shephard, Neil (137)

Harvey, Andrew (124)

Giannone, Domenico (123)

Bollerslev, Tim (110)

Creal, Drew (110)

Watson, Mark (102)

Engle, Robert (94)

Diebold, Francis (78)

Blasques, Francisco (48)

Main data

Production by document typepaperchapterarticlebook1992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240102030Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published1992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240100200300Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250200400600Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year19921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202402505007501,000Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 36Most cited documents123456789101112131415161718192021222324252627282930313233343536373805001,0001,500Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250402040h-index Highcharts.comExport to raster or vector imagePrint the chart

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
Oxford Bulletin of Economics and Statistics4
Statistica Neerlandica4
Journal of Empirical Finance4
Econometric Reviews4
Journal of Time Series Analysis4
Journal of Applied Econometrics4
Journal of the Royal Statistical Society Series A3
The Review of Economics and Statistics3
Biometrika3
Journal of Business & Economic Statistics3
Economics Letters2
Journal of Forecasting2
Journal of Economic Dynamics and Control2
Journal of the Royal Statistical Society Series C2
Econometrics Journal2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute114
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 (2025 and 2024)

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

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2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2024Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2025A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2025Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction. (2022). Salish, Nazarii ; Otto, Sven. In: Papers. RePEc:arx:papers:2201.02532.

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2024A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2024A 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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2024Reservoir 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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2024An 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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2024High-Dimensional Causality for Climatic Attribution. (2023). 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. (2023). 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?. (2023). Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2304.05805.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). 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. (2023). Mazzarisi, Piero ; Lillo, Fabrizio ; Tsaknaki, Ioanna-Yvonni. In: Papers. RePEc:arx:papers:2307.02375.

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2024Latent 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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2025DeepVol: 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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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). Tong, Chen ; Hansen, Peter Reinhard. 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. (2024). 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 ; Khedher, Asma. In: Papers. RePEc:arx:papers:2405.00576.

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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. (2024). 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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2024Asymptotic 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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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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2024Estimating perennial crop supply response: A methodology literature review. (2024). Tregeagle, Daniel ; Astill, Gregory ; Siegle, Jonathon ; Plakias, Zoe. 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). Bruneckiene, Jurgita ; Pilinkiene, Vaida ; Stundziene, Alina ; Pekarskiene, Irena ; Lukauskas, Mantas ; Grybauskas, Andrius. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1199-1233.

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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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2024.

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

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

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The 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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2024Forecasting air transportation demand and its impacts on energy consumption and emission. (2024). Martinez-Hernandez, Adrian J ; Tang, Yili ; Javanmard, Majid Emami. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924004148.

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2024“Gray” Prediction of Carbon Neutral Pathways in the G7 Economies by 2050. (2024). Huang, Zili ; Jiang, Mingqi ; Ur, Hafiz ; Xu, Guangyue. In: Applied Energy. RePEc:eee:appene:v:373:y:2024:i:c:s0306261924013072.

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2025Multiobjective energy management of multi-source offshore parks assisted with hybrid battery and hydrogen/fuel-cell energy storage systems. (2025). Temiz, Irina ; Silva, Bernardo ; Varotto, Sofia ; Kazemi-Robati, Ehsan. In: Applied Energy. RePEc:eee:appene:v:377:y:2025:i:pc:s0306261924019123.

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2024Fast same-step forecast in SUTSE model and its theoretical properties. (2024). Hirose, Kei ; Yoshida, Wataru. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:190:y:2024:i:c:s016794732300172x.

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2025Community influence analysis in social networks. (2025). Zhang, Qingzhao ; Tsai, Chih-Ling ; Lan, Wei ; Fang, Kuangnan ; Chen, Yuanxing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:202:y:2025:i:c:s016794732400121x.

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2024Dynamic hysteresis effects. (2024). Mendieta-Muñoz, Ivan ; Mendieta-Muoz, Ivan ; Li, Mengheng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000629.

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2024The race between education and technology in Chile and its impact on the skill premium. (2024). Balcombe, Kelvin ; Campos-Gonzalez, Jorge. In: Economic Modelling. RePEc:eee:ecmode:v:131:y:2024:i:c:s0264999323004285.

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2024Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China. (2024). Xu, Yang ; Zhang, Qichao ; Huang, Jiefei ; Song, Yuping. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001019.

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2024Option listing and underlying commodity futures volatility in China. (2024). Guo, Jin ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002839.

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2024Financial cycle comovement with monetary and macroprudential policy and global factors: Evidence from India. (2024). Bicchal, Motilal ; Mundra, Sruti. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000457.

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2024Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Pia, Marco ; Herrera, Rodrigo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615.

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2024Diversification value of green Bonds: Fresh evidence from China. (2024). Huang, Ziling ; Zhou, You ; Lin, Lichao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001797.

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2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

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2024Bellman filtering and smoothing for state–space models. (2024). Lange, Rutger-Jan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003482.

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2024Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails. (2024). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003500.

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2024Modelling cycles in climate series: The fractional sinusoidal waveform process. (2024). Proietti, Tommaso ; Maddanu, Federico. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407622000987.

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2024Modelling circular time series. (2024). Palumbo, Dario ; Hurn, Stan ; Harvey, Andrew ; Thiele, Stephen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001446.

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2024Maximum likelihood estimation of latent Markov models using closed-form approximations. (2024). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407620303389.

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2024Bayesian estimation of cluster covariance matrices of unknown form. (2024). Kim, Jaeho ; Creal, Drew. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s030440762400071x.

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2024Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094.

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2024Industrial Connectedness and Business Cycle Comovements. (2024). Owyang, Michael ; Guisinger, Amy ; Soques, Daniel. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:132-149.

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2024Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities. (2024). Sola, Martin ; Psaradakis, Zacharias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:49-63.

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2024Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs. (2024). Cho, Dooyeon ; Baillie, Richard T ; Rho, Seunghwa. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:88-112.

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

Siem Jan Koopman has edited the books:

Year  ↓Title  ↓Type  ↓Cited  ↓

Works by Siem Jan Koopman:

Year  ↓Title  ↓Type  ↓Cited  ↓
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
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.
[Full Text][Citation analysis]
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]		paper16
2021Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors.(2021) In: Energy Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		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]		paper7
2018Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models.(2018) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2007Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article157
2005Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices.(2005) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 157		paper
1992Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article161
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]		article56
2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article44
2008A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article24
2005A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk.(2005) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		paper
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]		article76
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article144
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: 144		article
2010A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2010) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 144		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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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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2000Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility In: Tinbergen Institute Discussion Papers.
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2002Stock Index Volatility Forecasting with High Frequency Data In: Tinbergen Institute Discussion Papers.
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2002Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation In: Tinbergen Institute Discussion Papers.
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2003Convergence in European GDP Series In: Tinbergen Institute Discussion Papers.
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2003Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence In: Tinbergen Institute Discussion Papers.
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2003Intervention Time Series Analysis of Crime Rates In: Tinbergen Institute Discussion Papers.
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2003Measuring Synchronisation and Convergence of Business Cycles In: Tinbergen Institute Discussion Papers.
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2005Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series In: Tinbergen Institute Discussion Papers.
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2005On Importance Sampling for State Space Models In: Tinbergen Institute Discussion Papers.
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2006Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series In: Tinbergen Institute Discussion Papers.
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2007Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters 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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2008Forecasting Cross-Sections of Frailty-Correlated Default In: Tinbergen Institute Discussion Papers.
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2008Spline Smoothing over Difficult Regions In: Tinbergen Institute Discussion Papers.
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2011Dynamic Factor Analysis in The Presence of Missing Data In: Tinbergen Institute Discussion Papers.
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2010Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates In: Tinbergen Institute Discussion Papers.
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2010Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective In: Tinbergen Institute Discussion Papers.
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2012Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia In: Tinbergen Institute Discussion Papers.
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2012Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models In: Tinbergen Institute Discussion Papers.
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2018Generalized Autoregressive Method of Moments In: Tinbergen Institute Discussion Papers.
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1999Signal Extraction and the Formulation of Unobserved Components Models In: Other publications TiSEM.
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1998Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives In: Other publications TiSEM.
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