Siem Jan Koopman : Citation Profile

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

38

H index

86

i10 index

6498

Citations

RESEARCH PRODUCTION:

124

Articles

168

Papers

3

Books

6

Chapters

EDITOR:

3

Books edited

RESEARCH ACTIVITY:

   34 years (1992 - 2026). See details.
   Cites by year: 191
   Journals where Siem Jan Koopman has often published
   Relations with other researchers
   Recent citing documents: 294.    Total self citations: 208 (3.1 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pko46
   Updated: 2026-05-16    RAS profile: 2026-05-09    
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Relations with other researchers

Works with:

van Brummelen, Janneke (5)

Schaumburg, Julia (3)

Lucas, Andre (3)

Blasques, Francisco (3)

Sampi, James (3)

Hillebrand, Eric (2)

Moussa, Karim (2)

Telg, Sean (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 (52)

Shephard, Neil (48)

Cites to:

Lucas, Andre (216)

Reichlin, Lucrezia (159)

Shephard, Neil (135)

Giannone, Domenico (123)

Harvey, Andrew (123)

Creal, Drew (116)

Bollerslev, Tim (111)

Watson, Mark (100)

Engle, Robert (98)

Diebold, Francis (79)

Blasques, Francisco (50)

Main data

Where Siem Jan Koopman has published?

Journals with more than one article published# docs
Journal of Econometrics20
International Journal of Forecasting10
Journal of Applied Econometrics9
Journal of Business & Economic Statistics8
Journal of Time Series Analysis6
Journal of Financial Econometrics5
Oxford Bulletin of Economics and Statistics5
Computational Statistics & Data Analysis5
Journal of Business & Economic Statistics4
Econometric Reviews4
Journal of Empirical Finance4
Statistica Neerlandica4
Journal of Applied Econometrics4
Biometrika3
The Review of Economics and Statistics3
Journal of the Royal Statistical Society Series A3
Journal of Economic Dynamics and Control2
Economics Letters2
Econometrics Journal2
Journal of Forecasting2
Journal of the Royal Statistical Society Series C2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute120
Working Paper Series / European Central Bank5
Post-Print / HAL3
Computing in Economics and Finance 1999 / Society for Computational Economics2

Recent works citing Siem Jan Koopman (2026 and 2025)

YearTitle of citing document
2026A rotated Dynamic Factor Model for the yield curve: squeezing out information when it matters. (2026). Lucchetti, Riccardo (Jack) ; Casoli, Chiara. In: FEEM Working Papers. RePEc:ags:feemwp:388985.

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2025Modeling prices from speculative markets: bursting bubbles or deflating balloons?. (2025). Wang, Linqi ; Harvey, Andrew ; Hafner, Christian. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2025008.

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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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2026A rotated Dynamic Factor Model for the yield curve: squeezing out information when it matters. (2026). Lucchetti, Riccardo (Jack) ; Casoli, Chiara. In: Working Papers. RePEc:anc:wpaper:503.

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

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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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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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2025Nowcasting with signature methods. (2023). de Paula, Aureo ; Cohen, Samuel N ; Yang, Lingyi ; Nesheim, Lars ; Mantoan, Giulia ; Small, Emma ; Scott, Craig ; Reeves, Andrew ; Malpass, Will ; Lui, Silvia. In: Papers. RePEc:arx:papers:2305.10256.

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

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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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2026Kullback-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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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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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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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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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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2026Quasi 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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2025Implicit score-driven filters for time-varying parameter models. (2025). van Dijk, Dick ; Lange, Rutger-Jan ; van Os, Bram. In: Papers. RePEc:arx:papers:2512.02744.

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2025Learning from crises: A new class of time-varying parameter VARs with observable adaptation. (2025). Korobilis, Dimitris ; Hardy, Nicolas. In: Papers. RePEc:arx:papers:2512.03763.

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2026Estimation and inference in models with multiple behavioural equilibria. (2026). Raggi, Davide ; Mayer, Alexander. In: Papers. RePEc:arx:papers:2512.04541.

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2025Predicting Price Movements in High-Frequency Financial Data with Spiking Neural Networks. (2025). Rhodes, Oliver ; Ezinwoke, Brian. In: Papers. RePEc:arx:papers:2512.05868.

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2026Exponentially weighted estimands and the exponential family: filtering, prediction and smoothing. (2026). van Heel, Simon Donker ; Shephard, Neil. In: Papers. RePEc:arx:papers:2512.16745.

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2025Modeling Economic Systems as Multiport Networks. (2025). Mendel, Max B ; Hutters, Coen. In: Papers. RePEc:arx:papers:2512.20600.

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2025Ultimate Forward Rate Prediction and its Application to Bond Yield Forecasting: A Machine Learning Perspective. (2025). Hong, YI ; Du, Jiawei. In: Papers. RePEc:arx:papers:2601.00011.

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2026Dynamic Mortality Forecasting via Mixed-Frequency State-Space Models. (2026). Li, Runze ; Zhou, Rui ; Pitt, David. In: Papers. RePEc:arx:papers:2601.05702.

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2026When the Rules Change: Adaptive Signal Extraction via Kalman Filtering and Markov-Switching Regimes. (2026). Kang, Sungwoo. In: Papers. RePEc:arx:papers:2601.05716.

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2026A Robust Similarity Estimator. (2026). Archakov, Ilya. In: Papers. RePEc:arx:papers:2601.12198.

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2026Spectral Dynamics and Regularization for High-Dimensional Copulas. (2026). Gubbels, Koos B ; Lucas, Andre. In: Papers. RePEc:arx:papers:2601.13281.

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2026Bridging Expectation Signals: LLM-Based Experiments and a Behavioral Kalman Filter Framework. (2026). Liu, Xiangchen ; Wang, YU. In: Papers. RePEc:arx:papers:2601.17527.

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2026Model selection confidence sets for time series models with applications to electricity load data. (2026). Rossini, Luca ; Ravazzolo, Francesco ; Ferrari, Davide ; de Bortoli, Piersilvio. In: Papers. RePEc:arx:papers:2602.16527.

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2026Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting. (2026). Luger, Richard ; Liu, Xiaochun. In: Papers. RePEc:arx:papers:2603.02357.

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2026Semi-structured multi-state delinquency model for mortgage default. (2026). Klein, Nadja ; Lessmann, Stefan ; Xia, Wangzhen ; Medina-Olivares, Victor. In: Papers. RePEc:arx:papers:2603.26309.

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2026Generalized Poisson Dynamic Network Models. (2026). Peruzzi, Antonio ; Casarin, Roberto ; Carallo, Giulia. In: Papers. RePEc:arx:papers:2604.05838.

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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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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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2025Will the “True” Productivity Series Please Stand Up? Identifying Inconsistencies Across Productivity Series. (2025). Plastina, Alejandro ; Lence, Sergio. In: Agricultural Economics. RePEc:bla:agecon:v:56:y:2025:i:6:p:1192-1206.

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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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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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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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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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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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2026Dynamic Models for Climate Extremes. (2026). Bidoia, Marco ; Palumbo, D ; Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2620.

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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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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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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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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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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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2025Estimating the natural rate of interest in a macro-finance yield curve model. (2025). Lemke, Wolfgang ; Goy, Gavin ; Brand, Claus. In: Working Paper Series. RePEc:ecb:ecbwps:20253160.

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2026Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter. (2026). Zhang, Xin ; Dinnocenzo, Enzo ; Schwaab, Bernd ; Lucas, Andr. In: Working Paper Series. RePEc:ecb:ecbwps:20263166.

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2026Fiscal monitoring with VARs. (2026). Sokol, Andrej ; Monti, Francesca ; Lenza, Michele ; Giannone, Domenico ; Cimadomo, Jacopo. In: Working Paper Series. RePEc:ecb:ecbwps:20263186.

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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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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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2025Enhancing electricity price forecasting accuracy: A novel filtering strategy for improved out-of-sample predictions. (2025). Cerasa, Andrea ; Zani, Alessandro. In: Applied Energy. RePEc:eee:appene:v:383:y:2025:i:c:s030626192500087x.

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2025Full-scale dynamic anaerobic digestion process simulation with machine and deep learning algorithms at intra-day resolution. (2025). Weinrich, Sren ; Meola, Alberto. In: Applied Energy. RePEc:eee:appene:v:390:y:2025:i:c:s0306261925005112.

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2025Hierarchical distributed optimization based bidding algorithm for electric water heater flexibility aggregators in nordic energy activation markets. (2025). Pandiyan, Surya Venkatesh ; Gros, Sebastien ; Rajasekharan, Jayaprakash. In: Applied Energy. RePEc:eee:appene:v:401:y:2025:i:pb:s0306261925013923.

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2025Transition to a greener economy: Climate change risks and resilience in a state-space framework. (2025). Bhadury, Soumya ; Pratap, Bhanu ; Gajbhiye, Dhirendra. In: Journal of Asian Economics. RePEc:eee:asieco:v:98:y:2025:i:c:s1049007825000521.

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2025Fixed-time control of nonlinear systems with time-varying gains: A novel stability criterion. (2025). Wang, Yu-Long ; Sun, Lin. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:200:y:2025:i:p3:s0960077925010951.

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2024Fast same-step forecast in SUTSE model and its theoretical properties. (2024). Yoshida, Wataru ; Hirose, Kei. 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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2025Continuous-time persuasion by filtering. (2025). Bonesini, Ofelia ; Ad, Ren ; Callegaro, Giorgia ; Campi, Luciano. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:176:y:2025:i:c:s0165188925000661.

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2025Cross-country risk spillovers: A FHM factor copula approach. (2025). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:150:y:2025:i:c:s026499932500118x.

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2025A Hodrick–Prescott filter with automatically selected breaks. (2025). Pelagatti, Matteo ; Maranzano, Paolo. In: Economic Modelling. RePEc:eee:ecmode:v:150:y:2025:i:c:s0264999325001270.

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2025Nonlinear hedging climate policy uncertainty: A dynamic mixed copula approach. (2025). Han, Yingwei ; Li, Jie. In: Economic Modelling. RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325001774.

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2025Zombie firms in network: Congestion and evergreening. (2025). Akarsu, Okan ; Torun, Huzeyfe ; Aktu, Emrehan. In: Economic Modelling. RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325002123.

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

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2025Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information. (2025). Xu, Buyun ; Wu, Zhimin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000087.

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2025Do US sectoral contagion and news-based economic policy uncertainty cause fear or greed behavior in Bitcoin investors?. (2025). Suleman, Muhammad Tahir ; Sheikh, Umaid A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000695.

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2025A new class of Z-valued INAR(1) models with application to mutual fund flows. (2025). Kang, Yao ; Zhang, Yuqing ; Wang, Shuhui ; Zhao, Zhiwen. In: Economics Letters. RePEc:eee:ecolet:v:252:y:2025:i:c:s0165176525001764.

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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.
[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]		paper13
2014SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES.(2014) In: Journal of Applied Econometrics.
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2019Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors In: CREATES Research Papers.
[Full Text][Citation analysis]		paper19
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: 19		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]		paper14
2018Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models.(2018) In: Post-Print.
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This paper has nother version. Agregated cites: 14		paper
2007Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article162
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: 162		paper
1992Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article166
1997The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article43
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]		article84
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article153
2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2011) In: Journal of Business & Economic Statistics.
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2010A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations.(2010) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 153		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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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.
[Full Text][Citation analysis]		article44
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: 44		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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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]		article52
2014Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 52		paper
2025A Novel Test for the Presence of Local Explosive Dynamics In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2024A Novel Test for the Presence of Local Explosive Dynamics.(2024) In: Tinbergen Institute Discussion Papers.
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2025Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
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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This paper has nother version. Agregated cites: 4		paper
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
2026Measuring Growth Spillovers In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		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.
[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.
[Full Text][Citation analysis]
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]		paper38
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: 38		article
2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
[Full Text][Citation analysis]		paper78
2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 78		paper
2014Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 78		article
2016The information in systemic risk rankings In: Working Paper Series.
[Full Text][Citation analysis]		paper35
2016The information in systemic risk rankings.(2016) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 35		article
2015The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 35		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]		paper82
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: 82		article
1999Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal.
[Citation analysis]		article230
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: 230		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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2006Special Issue on Nonlinear Modelling and Financial Econometrics In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article3
2006Special Issue on Nonlinear Modelling and Financial Econometrics.(2006) In: Post-Print.
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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]		article56
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.
[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]		article97
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: 97		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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2008The multi-state latent factor intensity model for credit rating transitions In: Journal of Econometrics.
[Full Text][Citation analysis]		article66
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: 66		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]		article5
2014Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 5		paper
2016Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article20
2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
[Full Text][Citation analysis]		article83
2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 83		paper
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.
[Full Text][Citation analysis]		article9
2020Long-term forecasting of El Niño events via dynamic factor simulations In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2020The dynamic factor network model with an application to international trade In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
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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2022A time-varying parameter model for local explosions In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
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]		article46
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]		article6
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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This paper has nother version. Agregated cites: 6		paper
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]		article6
2024Observation-driven filtering of time-varying parameters using moment conditions In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2024Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2021Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors.(2021) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 1		paper
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]		article155
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]		article360
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.
[Full Text][Citation analysis]		article68
2006Credit Cycles and Macro Fundamentals.(2006) In: Tinbergen Institute Discussion Papers.
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2006Credit cycles and macro fundamentals.(2006) In: CFS Working Paper Series.
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2014Long memory dynamics for multivariate dependence under heavy tails In: Journal of Empirical Finance.
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2011Long Memory Dynamics for Multivariate Dependence under Heavy Tails.(2011) In: Tinbergen Institute Discussion Papers.
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2008An hourly periodic state space model for modelling French national electricity load In: International Journal of Forecasting.
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2008An Hourly Periodic State Space Model for Modelling French National Electricity Load.(2008) In: Tinbergen Institute Discussion Papers.
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2010Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments In: International Journal of Forecasting.
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2013Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model In: International Journal of Forecasting.
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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.
[Full Text][Citation analysis]		article24
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]		article20
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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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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2000Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility In: Tinbergen Institute Discussion Papers.
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2002Stock Index Volatility Forecasting with High Frequency Data In: Tinbergen Institute Discussion Papers.
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2002Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation In: Tinbergen Institute Discussion Papers.
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2002Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series In: Tinbergen Institute Discussion Papers.
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2003Convergence in European GDP Series In: Tinbergen Institute Discussion Papers.
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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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2017Empirical Bayes Methods for Dynamic Factor Models.(2017) In: The Review of Economics and Statistics.
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